An MRI on Davis' shoulder revealed a muscle contusion that's not considered serious, a source told ESPN's Ramona Shelburne.
The 25-year-old will reportedly get treatment before deciding whether he'll play in Sunday's All-Star Game.
Davis played 16 minutes against the Thunder before sitting out the second half, finishing his night with 14 points and four rebounds.
The injury comes a week after the Pelicans chose to hold onto the superstar through the trade deadline despite Davis demanding a trade after informing the front office that he wouldn't sign an extension.
Davis is averaging 28.5 points and 13.1 rebounds in 44 appearances.