Yet he knows Manning better than anyone possibly could.
It was 25 years ago Saturday that Gretzky, as a newly minted member of the Los Angeles Kings, returned to Edmonton to face the Oilers, an NHL franchise he had led to four Stanley Cup championships over the previous five years.
So he understands the emotions the Denver Broncos quarterback is confronting as he prepares to return to Indianapolis on Sunday, his first homecoming to a place where he won a Super Bowl and an unprecedented four NFL most-valuable-player awards.
"Let me tell you something, Peyton won't sleep much this week because of the emotions and excitement that he's probably feeling," Gretzky told The Times by phone. "I can't speak for him, but I know what I went through. It's pretty emotional. I spent a lot of years there, like he did, and you become almost friends with the city."
Gretzky knows Indianapolis. He started his professional career here at 17, playing six games for the Indianapolis Racers of the World Hockey Assn. before his rights were sold to Edmonton.
"Indianapolis is similar to Edmonton in that it's not New York or Los Angeles," said Gretzky, 52, considered by many to be the greatest hockey player ever. "So you're at the stadium, and the places you go to eat, and the people you meet in the community are the people who are in those seats. So they become friends. They're not just fans, they become more like friends. So it becomes very emotional.
"I know that was a really hard day for me because in one sense I was looking forward to playing again in Edmonton, and in another sense I knew eventually they would start treating me as the enemy."
Gretzky was traded to the Kings after 10 spectacular seasons in which he won eight consecutive league MVP crowns. Manning was cut loose by the Colts after 14 years, when his football future was in doubt because of a neck injury. Both players tearfully said goodbye to their cities.
"We both left on pretty good terms," Gretzky said. "It wasn't like we sort of ran out the door or left on bad terms. In that sense it's very similar in that he's going back to an environment where every fan in that stadium absolutely idolized him and admired and respected him, not only for what he did for the team but for the city.
"I think for the fans this is an opportunity to get to see him play one more time, although it will be in a different uniform, but they get to pay their respects maybe one last time with him playing a game in Indianapolis. So from that point of view it will probably be very exciting for everybody."
The fanfare surrounding Gretzky's return to Edmonton was off the charts. More than 200 media credentials were requested, about five times the typical number for a non-playoff game. The Canadian Broadcasting Co. switched a regular-season broadcast of "Hockey Night in Canada" from its normal Saturday time slot to midweek for the first time in that program's history. A local radio station devoted all day to listeners telling their "favorite Gretzky moments." And the cover charge at Goose Loonies, a nightclub on the city's south side, was 99 cents in honor of Gretzky's jersey number.
The way he saw it, those 17,503 people crammed into the Northlands Coliseum weren't just Oilers fans, they were friends.
"Over the 10 years that I was there, if I didn't meet every one of them, I'm sure I at least saw every one of them," Gretzky said. "They become friends. I used to look across the ice, and I knew when people were out of town for either American Thanksgiving, or away for Easter break, or might have gone to Hawaii for Christmas because they'd give their two season tickets to someone else who may have been sitting in those seats. It was a pretty special place.
"Some athletes are not aware of what's going on. I knew when my dad was sitting down in his seat after getting a soda, or when my wife got to the game four minutes late. I guess that made me feel comfortable, being aware of what's going on in a stadium. I guess each guy is different and each athlete is different. But I was aware of when a regular season-ticket holder wasn't at a game, and if I saw them out a few days later I'd say, 'Hey, where were you guys?'"
Even though four times as many spectators will fill Lucas Oil Stadium to the rafters Sunday, Manning had a similar relationship with Colts fans during his tenure here.
"From his point of view, this may be the only time he has to go back there," Gretzky said. "I'm sure he's going to take it all in and really enjoy it, and probably play the best game he's played all year, which is even harder to believe because he's been so good.
"He's such a professional, one of the greatest athletes of all time. I anticipate him being nervous and excited, but I expect him to have maybe the best game he's had in a long time."
Manning, meanwhile, is staying away from predictions about how he'll feel and how he'll play in this highly unusual situation.
"If this was a scenario where all I had to do maybe was come back and wave and smile, kiss a few babies and sign a few autographs it would be different," he said. "But somehow I've got to figure out how to stay away from [linebacker Robert] Mathis, and complete a few passes on [Vontae] Davis and [Antoine] Bethea, and that's going to be tough. It's a tough defense.
"It's all I know to do from a preparation standpoint right now, and all the predictions and future questions, it's just too hard to answer."
Gretzky didn't come away with a victory in his first homecoming. He had two assists and at least four missed scoring opportunities in an 8-6 loss. He would later say those returns to Edmonton were the least favorite games of his career.
But the first game back was different. As he made his way onto the Edmonton ice for the first time, Gretzky wasn't sure if he'd be cheered or booed.
He got a standing ovation that lasted four minutes.
"There's nothing like winning a championship," he said. "There's nothing like being told, 'You guys are champions,' and lifting the trophy. But for those four minutes, it may have been the greatest four minutes of my entire career."