In this paper, we find that the numerical simulation of gas flow in dual-continuum porous media may generate unphysical or non-robust results using regular finite difference method. The reason is the unphysical mass loss caused by the gas compressibility and the non-diagonal dominance of the discretized equations caused by the non-linear well term. The well term contains the product of density and pressure. For oil flow, density is independent of pressure so that the well term is linear. For gas flow, density is related to pressure by the gas law so that the well term is non-linear. To avoid these two problems, numerical methods are proposed using the mass balance relation and the local linearization of the non-linear source term to ensure the global mass conservation and the diagonal dominance of discretized equations in the computation. The proposed numerical methods are successfully applied to dual-continuum gas reservoir simulation. Mass conservation is satisfied while the computation becomes robust. Numerical results show that the location of the production well relative to the large-permeability region is very sensitive to the production efficiency. It decreases apparently when the production well is moved from the large-permeability region to the small-permeability region, even though the well is very close to the interface of the two regions. The production well is suggested to be placed inside the large-permeability region regardless of the specific position.