Colloidal quantum dots (CQDs) are promising building blocks for low-cost and high-performance gas sensors due to their excellent solution processability and extremely small size. Among chalcogenide CQDs, PbSe has a large exciton Bohr radius and exhibits strong confinement energies, facilitating the fast charge-carrier transport. However, CQDs-based devices are susceptible to degrade due to the poor stability of CQDs. Here, in order to obtain air-stable PbSe CQDs for gas sensing application, we synthesized PbSe CQDs using a cation exchange method with in situ chloride and cadmium passivation. The sharp absorption peak in UV–vis absorption spectra confirmed strong quantum confinement in the PbSe CQDs and their average diameter was estimated to be 2.87 ± 0.23 nm. To construct gas sensors, PbSe CQDs were spin-coated onto ceramic substrates and then Pb(NO3)2 treatment was carried out to remove the long-chain ligands surrounding PbSe CQDs. At 25 °C, the sensor was highly sensitive and selective to NO2 with a response of 22.3 at 50 ppm and a fast response time of 7 s. Moreover, the sensor response showed a 85.2% stability as the time increased up to 20 days, suggesting the potential applications of PbSe CQDs for NO2 monitoring at room temperature.