The D415 and D435 do not have a built-in gyroscope, as confirmed by Intel support team member Juan N in the post linked to below.
An optional 'T150 Tracking Module' component can be added that "includes an Inertial Measurement Unit (IMU) that holds accelerometer and gyroscope sensors providing 6DOF data". This module attaches to the D4 Vision Processor component of the caseless Module Kit circuit-board versions of the camera via a 50-pin connector.
Page 41 onwards of the full data sheet document for the RealSense 400 Series cameras describes the T150 Tracking Module.
https://software.intel.com/sites/default/files/Intel_RealSense_Depth_Cam_D400_Series_Datasheet.pdf https://software.intel.com/sites/default/files/Intel_RealSense_Depth_Cam_D400_Series_Datasheet.pdf
If you need a RealSense USB camera solution with the IMU (gyro and accelerometer) built in then you could consider the older ZR300 camera model. It is no longer available from Intel's store as it was retired last year, though some Intel Authorized Distributor companies still have limited stock. For example, the company Avnet lists having 4 left in stock.
https://www.avnet.com/shop/emea/products/intel/955176-3074457345633931395/ Avnet: Quality Electronic Components & Services
Please bear in mind that the ZR300 would not work with the RealSense SDK 2.0 software, as it is suited to the RealSense SDK For Linux or the original 'Legacy' version of Librealsense that pre-dates SDK 2.0.
