The pendulous vanes which are used to erect the gyro react to the centrifugal force produced in a turn causing it to erect to false datum. Also the 'bottom heaviness' of the gyro case also reacts to the same centrifugal forces causing the following: -
90 degrees of turn - Indicates Climb and underbank.
180 degrees of turn -Indicates Climb and normal bank.
270 degrees of turn - Indicates Climb and overbank.
360 degrees of turn - Indicates normal attitude and normal bank.
The precession rate is only small so not much error.
Thats why holding patterns are the shape they are rather than circular orbits.