Gay's left in Sierra (the setter's) (8)
I believe the answer is:
sportive
'gay's' is the definition.
(thesaurus)
'left in sierra the setter's' is the wordplay.
'left in sierra' becomes 'sport' (I am not sure about this - if you are sure you should give a lot more credence to this answer).
'the setter's' becomes 'ive' (I've seen this in other clues).
'sport'+'ive'='SPORTIVE'
Can you help me to learn more?
(Other definitions for sportive that I've seen before include "merry" , "frisky" .)