The selective sensing of gaseous target molecules is a challenge to analytical chemistry. Selectivity may be achieved in liquids by several different methods, but many of these are not suitable for gas-phase analysis. In this review, we will focus on molecular imprinting and its application in selective binding of volatile organic compounds and atmospheric pollutants in the gas phase. The vast majority of indexed publications describing molecularly imprinted polymers for gas sensors and vapour monitors have been analysed and categorised. Specific attention was then given to sensitivity, selectivity, and the challenges of imprinting these small volatile compounds. A distinction was made between porogen (solvent) imprinting and template imprinting for the discussion of different synthetic techniques, and the suitability of each to different applications. We conclude that porogen imprinting, synthesis in an excess of template, has great potential in gas capture technology and possibly in tandem with more typical template imprinting, but that the latter generally remains preferable for selective and sensitive detection of gaseous molecules. More generally, it is concluded that gas-phase applications of MIPs are an established science, capable of great selectivity and parts-per-trillion sensitivity. Improvements in the fields are likely to emerge by deviating from standards developed for MIP in liquids, but original methodologies generating exceptional results are already present in the literature.