Metal‐organic frameworks (MOFs) hold significant promise in the realm of gas sensing. However, current understanding of their sensing mechanisms remains limited. Furthermore, the large‐scale fabrication of MOFs is hampered by their inadequate mechanical properties. These two challenges contribute to the sluggish development of MOF‐based gas‐sensing materials. In this review, the selection of metal ions and organic ligands for designing MOFs is first presented, deepening the understanding of the interactions between different metal ions/organic ligands and target gases. Subsequently, the typical interfacial synthesis strategies (gas‐solid, gas‐liquid, solid‐liquid interfaces) are provided, highlighting the potential for constructing MOF membranes on superhydrophobic and/or superhydrophilic substrates. Then, a multi‐scale structure design strategies is proposed, including multi‐dimensional membrane design and heterogeneous membrane design, to improve sensing performance through enhanced interfacial mass transfer and specific gas sieving. This strategy is anticipated to augment the task‐specific capabilities of MOF‐based materials in complex environments. Finally, several key future research directions are outlined with the aim not only to further investigate the underlying sensing principles of MOF membranes but also to achieve efficient detection of target gases amidst interfering gases and elevated moisture levels.