No one knows. The maker of 'Naruto' has never shown them or talked about them.
A theory is that they died when the Nine Tailed Fox attacked the village. That would have made Rock Lee one or two years old when they died, making him an orphan.
Gai is actually more like his foster father. Not his actual father. He's only 13 years older than Rock Lee, so that's pretty much out of the question. Most people think though, that Gai is Rock Lee's uncle. Gai sort of adopted Rock Lee when Lee was 6.