The quote might have been genuine, but Gates said it an joking manor - e.g. "it was like I didn't have a day off in 40 years".

Or Gates wanted to be viewed as a work-a-holic and lied.

I'm fairly sure it's not literally true.

He might have meant something like “never took a day off beyond the usual weekend/holiday”. Or “even on vacation, I did things like exercise and reading books, so it doesn’t count as taking a day off”. Who knows.