Luminescent micelles are extensively studied molecular scaffolds used in applied supramolecular chemistry. These are particularly important due to their uniquely organized supramolecular structure and chemically responsive physical and optical features. Various luminescent tags can be incorporated with these amphiphilic micelles to create efficient luminescent probes that can be utilized as “chemical noses” (sensors) for toxic and hazardous materials, bioimaging, drug delivery and transport, etc. Due to their amphiphilic nature and well-defined reorganized self-assembled geometry, these nano-constructs are desirable candidates for size and shape complementary guest binding or sensing a specific analyte. A large number of articles describing micellar fluorogenic probes are reported, which are used for cation/anion sensing, amino acid and protein sensing, drug delivery, and chemo-sensing. However, this particular review article critically summarizes the sensing application of nitroaromatic (e.g., trinitrotoluene (TNT), trinitrobenzene (TNB), trinitrophenol (TNP), dinitrobenzene (DNB), etc.) and nitramine explosives (e.g., 1,3,5-trinitro-1,3,5-triazinane, trivially named as “research department explosive” (RDX), 1,3,5,7-tetranitro-1,3,5,7-tetrazocane, commonly known as “high melting explosive” (HMX) etc.). A deeper understanding on these self-assembled luminescent “functional materials” and the physicochemical behavior in the presence of explosive analytes might be helpful to design the next generation of smart nanomaterials for forensic applications. This review article will also provide a “state-of-the-art” coverage of research involving micellar–explosive adducts demonstrating the intermolecular charge/electron transfer (CT/ET) process operating within the host–guest systems.