Sorry, no, there's no way to do this.
However, if you wish to, you can set the Permissions for any Folder or Album in your gallery to be visible only for members of your site.
Go to the Folder/Album, click on the Permissions button (assuming you're logged in as an administrator), then untick the permissions that you don't want (such as Read access for The Public).
Some permissions are inherited from the level above. If you want to turn off a permission that has been inheried then you first need to click the "Do not inherit permissions from <place>" button.