You have the correct syntax:
parallel gzip -r -9 ::: myfile_*
So something else is wrong. What is the output of
parallel --version
You can find more about GNU Parallel at: http://www.gnu.org/s/parallel/
You can install GNU Parallel in just 10 seconds with:
wget -O - pi.dk/3 | sh
Watch the intro video on
http://www.youtube.com/playlist?list=PL284C9FF2488BC6D1