In this work, we study the effect of substituents in cobalt(II) and iron(II) phthalocyanines (CoPcR4 and FePcR4 with R = H, F, Cl, tBu) on the structural features of their films, and their chemi-resistive sensor response to a low concentration of nitric oxide. For the correct interpretation of diffractograms of phthalocyanine films, structures of CoPcCl4 and FePcCl4 single crystals were determined for the first time. Films were tested as active layers for the determination of low concentrations of NO (10–1000 ppb). It was found that the best sensor response to NO was observed for the films of chlorinated derivatives MPcCl4 (M = Co, Fe), while the lowest response was in the case of MPc(tBu)4 films. FePcCl4 films exhibited the maximal response to NO, with a calculated limit of detection (LOD) of 3 ppb; the response and recovery times determined at 30 ppb of NO were 30 s and 80 s, respectively. The LOD of a CoPcCl4 film was 7 ppb. However, iron phthalocyanine films had low stability and their sensitivity to NO decreased rapidly over time, while the response of cobalt phthalocyanine films remained stable for at least several months. In order to explain the obtained regularities, quantum chemical calculations of the binding parameters between NO and phthalocyanine molecules were carried out. It was shown that the binding of NO to the side atoms of phthalocyanines occurred through van der Waals forces, and the values of the binding energies were in direct correlation with the values of the sensor response to NO.