The admission came during Gayle's testimony in Yang's murder trial in Waukegan on Tuesday.
Yang is accused of killing Reuter and her unborn child to eliminate her romantic competition.
The defense cross-examined Gayle on his relationship with another woman, Monica Kurowska.
Gayle first told police he suspected Kurowska in the murder. He said he had an order of protection against her for a series of harassing letters and stalking.
Gayle says he was questioned by Deerfield police for 10 hours after the murder.
During opening statements on Friday, the defense warned that Yang was a victim too. Attorney William Hedrick told jurors there was no obsession or motive.
He said that at the time of the slaying, Gayle was seeing 18 or 19 different women, and he called Yang's purported confession to the crime a "festival of liars."