Sensor assay methods for detecting the presence of an analyte in a sample are provided. Aspects of the methods include providing a sensor, e.g., a proximity sensor, in contact with an assay composition that includes a sample and a proximity label. Next, a capture probe configured to bind to the proximity label and the analyte is introduced into the assay composition to produce a labeled analyte. Following capture probe introduction, a signal is obtained from the sensor to detect the presence of the labeled analyte in the sample. Also provided are sensor devices, including hand-held devices, and kits that find use in practicing the subject methods.