In the most case of metal oxide sensor material (ex. tin dioxide [SnO2-x]) is heated at high temperature such as about 400˚C, free electrons flow through the conjoined parts (grain boundary) of tin dioxide crystals. In clean air, oxygen is adsorbed on the metal oxide surface. With its high electron affinity, adsorbed oxygen attracts free electrons inside the metal oxide, forming a potential barrier at the grain boundaries. This potential barrier prevents electron flow, causing high sensor resistance in clean air.

In clean air, donor electrons in tin dioxide are attracted toward oxygen which is adsorbed on the surface of the sensing material, preventing electric current flow. In the presence of reducing gases, the surface density of adsorbed oxygen decreases as it reacts with the reducing gases. Electrons are then released into the tin dioxide, allowing current to flow freely through the sensor. 

http://www.figaro.co.jp/en/technicalinfo/principle/mos-type.html

Sensors 2010, 10, 2088-2106; doi:10.3390/s100302088

Review: Metal Oxide Gas Sensors: Sensitivity and Influencing Factors

Not all gas sensors work at high temperatures. For example, ZnO sensitivity to oxygen is in ambient temperatures while the sensitivity to hydrogen is in high temperatures like 400 centigrade. The optimum temperature depends on the material of the sensor and the kind of gases to detect. The strength of the van der Waals bond between the material and the gas is the most important factor to determine in what temperature to operate the sensor

Not all the gas sensors work at high temperatures, and most of good sensors work at room temperature depend on the material that use.

Mr. Khudiar, as mentioned in other answers, not all sensors work at higher temperature. It is true that many sensors (including metal oxides) needs some operating temperatures so that the measurable conductivity can be achieved. This is also highlighted by Dr. Chen above. However, along with suitable sensing material the electrode geometry also plays an important role in reducing the operating temperature. Recently, I gave a presentation about such effects at Eurosensors-2015 Conference in Freiburg. We have a few articles highlighting this effect and currently I am writing another one. Here are the links for those articles, please let me know if you are not able to open it, otherwise I will send those via attachment. 

http://www.sciencedirect.com/science/article/pii/S092540051401212X

http://www.sciencedirect.com/science/article/pii/S1877705815022572

http://www.sciencedirect.com/science/article/pii/S187770581502411X

I will add my latest article as soon as it is available. 

Agree with previous answers. Some of gas sensors work at high or elevated temperatures for higher electron or defects (donors) mobility, for cleaning surface before reacting with detected gas and sometimes for surface catalysis initiation. Other sensors don`t need high temperature for the operation. And very often the main task for the sensor designers and producers is to decrease the “good” sensor operation temperature – for example to make the sensor less energy consuming or to operate with substances not withstanding high temperatures.

Absolutely agree with above answers that some sensors need high temperature to detect gases and some detect at room temperature also. That's also true not all metal oxides based sensor work at high temperature. The operating temperature can be minimized with sensor geometry  as well as with optimization of sensing material growth process. I experienced that chemical synthesis (spray pyrolysis) thin films need high temperature while physically (sputtered) deposited films need less temperature comparatively. It might be because of surface morphology change and others things too. Materials properties and  sensor operating conditions are important to produce most stable sensor. 

Some sensors that work usually at room temperature are operated at 100-200 degree centigrade in order to avoid moisture accumulation especially in high humidity areas.

Usually Metal oxide semiconductors need a minimum activation energy for the adsorption of certain gas molecules on their surface. The activation energy is provided with applying heat.

Usually metal oxide semiconductors need high operating temperature to make it work. But 2D matetials and TMDCs based sensors can work at room temperature owing to their high surface to volume ratio and conductivity.

It is so that the the gas to be sensed is to be adsorbed at the surface of the gas sensing material. This adsorption process may need activation by increasing the sensor temperature. So, only the sensor needing absorption activation are those which will be subjected to higher temperature operation.

Globally the sensitivity of the sensor depends on temperature such that it can be increases appreciably by temperature.

Naturally the sensors operating at room temperature are preferable as they do not need heating.

Best wishes

One of the reasons for choosing high temperatures for gas sensing is that response and recovery time decreases with temperature as in the added file.