Using df.to_csv() with the keyword argument compression='gzip' should produce a gzip archive. I tested it using same keyword arguments as you, and it worked.
You may need to upgrade pandas, as gzip was not implemented until version 0.17.1, but trying to use it on prior versions will not raise an error, and just produce a regular csv. You can determine your current version of pandas by looking at the output of pd.__version__.