Pachyrhinus yasumatsui Kono et Morimoto is a major pest of Chinese jujube, which is widespread in northern China and causes severe economic losses in the jujube industry. Chemosensory genes play crucial roles in insect behaviors. Currently, little is known about chemosensory genes in P. yasumatsui. In the present study, antennal transcriptomes of female and male adult P. yasumatsui were annotated. In total, 113 genes involved in chemosensory functions were identified, including 41 odorant receptors, 28 odorant-binding proteins, 16 ionotropic receptors, 15 chemosensory proteins, 9 gustatory receptors, and 4 sensory neuron membrane proteins. Subsequently, the phylogenetic analyses of these olfactory-related proteins in P. yasumatsui were conducted using multiple sequence alignment. Furthermore, sex-specific expression levels of 113 genes were analyzed based on fragments per kilobase of transcript per million mapped reads (FPKM). Then, the quantitative real-time PCR (RT-qPCR) was used to quantify gene expression profiles of 28 P. yasumatsui OBPs (PyasOBPs) and 15 CSPs (PyasCSPs). The results revealed that 20 PyasOBPs and 13 PyasCSPs exhibited significantly higher expression in the antennae than in the bodies, suggesting that they might have functions in olfaction. Moreover, some OBPs and CSPs (PyasOBP6, PyasOBP7, PyasOBP16, PyasOBP21, and PyasCSP4) exhibited female-biased expression, indicating that they might take part in several female-specific behaviors. This study will promote the understanding of olfactory mechanism in P. yasumatsui, and our findings lay the groundwork for developing environmentally friendly pest management measures.