The applications of negative index materials (NIM) are currently severely limited by absorption. Subsequent to improvements of metamaterial design, it has been suggested that dense gases of atoms could form NIM with negligible loss. In such gases, the low absorption is facilitated by quantum interference. In this paper, we show that additional gain mechanisms can be used to tune and effectively remove absorption in a dense gas NIM. In our setup, the atoms are coherently prepared by control laser fields, and further driven by a weak incoherent pump field to induce gain. We employ nonlinear optical Bloch equations to analyze the optical response. Metastable neon was identified as a suitable experimental candidate at infrared frequencies to implement a lossless active negative index material.