I have camry 05.The Gear shift bulb has burnt.Replaced a new one no light yet.Checked voltage across the socket showing nothing.But there is continuity acroos the socket terminals.I don't think it's the fuse problem .Please advice

You could have a bad ground. Do you have Positive power to one side?

If that is the only light that's out, you need to know that bulb has a shared power feed and shared ground.
You most likely have a continuity issue with that lamp socket or the connection to the socket... or the bulb you just put in is already open. Try another bulb first.