The sensitivity of a material to different gases is dependent from the interaction of material and gas. For metal-oxide sensors, for example, the interaction is often the adsorption of the gas to the oxide (sometimes followed by a reaction). During this adsorption (or reaction) oxygen defects could be produced (for reducing gases). So sensitivity is correlated to the reactivity (or at least adsorption) of your system, which parameters influences your system could not be cleared with your less information.
the question lacks a bit of detail: less sensitive at comparable concentrations or ???
For the "standard" SnO2 sensors I can give you some details about operation:
* The basic principle is the combustion of the agent to be detected.
* In your case this will effect a partial reduction of the SnO2 - changing the conductivity of the sensing element.
* As the basic SnO2 is doped with catalysts, it is also possible that the catalytic activity is different regarding CH3-OH vs. C2H5-OH. Which property is making the difference depends on the catalyst.
* Due to different MOx sensor recipes (regarding the catalyst, but also using MOxes different from SnO2) max exhibit different properties regarding the reaction on different agents. The same applies depending on the operating temperature of the sensor element.
If your sensor works on the principle of adsorption, methanol has higher polarity and less steric hindrance than ethanol, so it more favorably interacts with the sensor via hydrogen bonding.