Protein in and of itself doesn't cause gas more than any other food -- unless you are allergic to the protein source. In that case, you should keep track of the particular protein sources that cause problems, and avoid them if necessary. In other cases, it might be what accompanies the protein or the size of the meal that is at issue, and both situations are easily remedied.
If you are using whey or casein protein, you might be experiencing a reaction to lactalbumin, a protein found in milk. Gas is common, generally sets in soon after ingestion, and is followed by diarrhea and sometimes a rash. Mild cases might be resolved by choosing a whey protein isolate, in which the protein is broken down into smaller molecules that are unlikely to cause problems. In severe cases, all milk proteins should be avoided entirely. Lactalbumin allergy is different from lactose intolerance, so over-the-counter lactase supplements will not help.
If you get gas pains after eating soy or using a soy protein supplement, you are not alone. Soybeans are legumes, and they contain very complex sugars that your body cannot break down completely. These sugars end up riding through your digestive tract with the rest of the waste, but the process takes long enough that the sugars actually ferment in your gut. Gas is the product of fermentation, so you end up with gas pains. Taking an over-the-counter digestive enzyme might help, or choose soy products labeled as having "low oligosaccharides."
If the problem only occurs after drinking a protein shake and not after eating, say, a steak, the problem could be either the mixer or the mixing method. Most protein shakes are mixed with milk, so you might be reacting to either the lactose or the lactalbumin. Use a lactase supplement if you're lactose-intolerant, or mix it with water or juice instead. If you use a blender to mix your shake, you incorporate a lot of air into the mix -- you get a creamier shake, but that air has to go somewhere when the shake is digested, so you end up with gas. Try mixing your shake in a shaker bottle instead.
If you get gas every time you eat protein of any form, the problem could be sheer volume. Protein digests more slowly than carbohydrates, so it hangs around in your stomach longer. This can easily lead to gas as your meal breaks down, and unreleased gas moves into the intestines with the digested food. If you eat a large amount in one sitting, this process takes awhile -- your stomach will feel full for a long time, and the gas may not be released until the entire meal is digested. Stick to proper portion sizes -- 3 ounces is a serving of meat or poultry -- and eat slowly to avoid swallowing air that can make gas worse.