In this work, nanostructured CeO2 microspheres with high surface area and mesoporosity were prepared by the coprecipitation method, in absence of a template. The reaction between cerium nitrate and concentrated formic acid produced cerium formate, at room temperature. Further, calcination at 300 °C yielded single-phase CeO2 microspheres, with a diameter in the range 0.5–2.6 μm, the surface of these microspheres is completely nanostructured (diameter about 30–90 nm). CeO2 microspheres were used to fabricate a sensor device, and it was tested for intermediate CO gas concentrations (200–800 ppm). The detection of 200 ppm carbon monoxide was observed at 275 °C, with a response time of 9 s, using an applied frequency of 100 kHz. The detection of changes on the CO gas concentration was studied at different temperatures and applied frequencies. The results revealed a reproducible and stable gas sensing response.