NBA.com noted Davis left in the third quarter after landing on Kosta Koufos' foot while going for a rebound. The Pelicans announced X-rays were negative and deemed it a left ankle sprain, but he never came back into the game.
Pelicans head coach Alvin Gentry told reporters Davis would get an MRI on Thursday.
The 24-year-old remains one of the league's best players when he's healthy. Coming into Wednesday's contest, he was averaging 28.3 points and 11.2 rebounds this season.
Durability has long been the biggest concern about Davis. He appeared in 70 or more games only once in his first five seasons. The lack of a common thread between his various injuries adds slightly more worry, since there isn't an easy way to address the cause.
An adductor strain kept Davis out for a handful of games in December.
Davis' newest injury comes as New Orleans is still reeling from the season-ending ruptured Achilles tendon DeMarcus Cousins suffered in late January. The Pelicans reacted by acquiring Nikola Mirotic from the Chicago Bulls, but Cousins' absence looms large over the team.
The Pelicans could quickly slip down the Western Conference standings if Davis' injury proves to be serious.