Newly installed water heater with faint gas smell
You have used the wrong type of teflon tape - for gas the thicker yellow teflon tape should be used.  Another option which many prefer is to use a pipe sealant like RectorSeal.

If after replacing the white teflon the smell persists I would check the other end of the gas line.  It's possible that when removing the old gas line an existing fitting was loosened and is now leaking slightly.