Though the bulk of the chances actually fell to Rochdale, Gillingham could point to two outstanding saves by Rochdale's Frank Fielding when they did threaten.
The early stages certainly saw Rochdale on top with wingers Adam Rundle and Will Buckley both going close and a towering header from Lee Thorpe going narrowly wide.
Buckley also had the ball in the net on 38 minutes but his effort was ruled out for offside.
Just before the break, Gillingham went closest to taking the lead when a combination of defender Simon Ramsden and striker Andy Barcham forced Fielding to make an excellent reaction save.
The home side upped the tempo after the break with Buckley again going close and skipper Gary Jones forcing a flying save out of visiting keeper Simon Royce.
On 74 minutes, Fielding was again called into action for the home side as his mis-hit clearance gave a shooting chance to Stuart Lewis but his effort was clawed away.
Chris Dagnall, coming off the bench, brought further life to the home side in the closing stages but Gillingham held firm with captain Barry Fuller and central defender Simon King producing near faultless performances.
Gillingham will now start as favourites when the teams meet again - for the third time in eight days - in the second leg at the Priestfield on Sunday evening.