The key element in an oxygen sensor is a special type of electically conductive zirconium oxide ceramic.
Rather than conducting electrons the way a metal does, this special zirconia conducts oxygen ions.
An oxygen ion is an oxygen atom that has picked up two extra electrons. Because it now has more electrons than photons, it has a negative electrical charge and can be a carrier of electricity.
An oxygen ion, however, is thousand of times larger than an electron and can't travel through metal wire; it can only travel through special ceramics, such as the zirconia