At high temperature conductivity of semiconductor (metal oxide) increases. In gas sensing operation oxygen ion reacts with incoming gas and there is change in conductivity. At high temperature this change is appreciable.
Metal oxide (MOX) gas sensors are working because of the interaction of the analyte with the lattice oxygen of the sensor. The sensing effect is caused by a change in the concentration of the mobile species (Oxygen atoms or vacancies, differing between different materials and anaylte gases).
Increasing the temperature increases the concentration of mobile species and so increasing your sensitivity.
I have attached a few basic papers to conductometric MOX sensors. Especially the Barsan2001 gives a nice introduction.
Article Metal and Metal Oxide Nanoparticles in Chemiresistors: Does ...
Article Metal Oxide Semi-Conductor Gas Sensors in Environmental Monitoring
Article Solid State Gas Sensor Research in Germany—A Status Report
Article Metal Oxide-Based Gas Sensor Research
Article Conduction Model of Metal Oxide Gas Sensors