An in-depth exploration of gene prognosis using different methodologies aids in understanding various biological regulations of genes in disease pathobiology and molecular functions. Interpreting gene functions at biological and molecular levels remains a daunting yet crucial task in domains such as drug design, personalized medicine, and next-generation diagnostics. Recent advancements in omics technologies have produced diverse heterogeneous genomic datasets like micro-array gene expression, miRNA expression, DNA sequence, 3D structures, which are significant resources for understanding the gene functions. In this paper, we propose a novel self-attention based deep multi-modal model, named DeePROG, for the prognosis of disease affected genes based on heterogeneous omics data. We use three NCBI datasets covering three modalities, namely gene expression profile, the underlying DNA sequence, and the 3D protein structures. To extract useful features from each modality, we develop several context-specific deep learning models. Besides, we develop three attention-based deep bi-modal architectures along with DeePROG to leverage the prognosis of the underlying biomedical data. We assess the performance of the models' in terms of computational assessment of function annotation (CAFA2) metrics. Moreover, we analyze the results in terms of receiver operating characteristics (ROC) curve in high-class imbalance data setting and perform statistical significance tests in terms of Welch's t-test. Experiment results show that DeePROG significantly outperforms baseline models across in terms of performance metrics. The source code and all preprocessed datasets used in this study are available at https://github.com/duttaprat/DeePROG.