A device for sensing the oxygen concentration in an exhaust gas has a cup-like oxygen-ion permeable cylindrical member made of solid electrolyte consisting of oxygen-ion conducting metal oxide. The cylindrical member has an inner circumferential surface communicating with the atmosphere and an outer circumferential surface communicating with the exhaust gas for producing an electromotive force corresponding to a difference between the oxygen concentrations on the inner circumferential surface and on the outer circumferential surface and has a negative-resistance temperature characteristic. A pair of first electrodes serving as a lean sensor each comprise a thin film made of porous metal material and are provided on the inner circumferential surface and outer circumferential surface of the cylindrical member, respectively, in opposed relationship to each other. An oxygen-gas diffusion limiting layer covers the lean sensing electrode on the outer circumferential surface of the cylindrical member. A pair of second electrodes for sensing the oxygen concentration under high load drive mode and the temperature of the cylindrical member each comprises a thin film made of porous metal material and are provided, respectively, on those portions of the inner and outer circumferential surfaces of the cylindrical member which are different from the portions where the first electrodes are provided in opposed relationship to each other. A heater is disposed in the cylindrical member for heating the cylindrical member.