In this study, a novel flexible ethanol gas sensor was created by the deposition of CoFe2O4 (CFO) thin film was on a thin mica substrate using pulsed laser deposition. Transition electron microscopy (TEM) investigations clearly demonstrated the successful growth of CFO on the mica, where a well-defined interface was observed. Ethanol gas-sensing studies showed optimal performance at 200 °C, with the highest response, 19.2, to 100 ppm ethanol. Operating the sensor in self-heating mode under 7 V applied voltage, which was corresponds to a temperature of approximately 200 °C, produced a maximal response to ethanol of 19.2. This aligned with the highest responses observed during testing at 200 °C, confirming the sensor’s accuracy and sensitivity to ethanol under self-heating conditions. In addition, the sensor exhibited good selectivity to ethanol and excellent flexibility; maintaining its high performance after bending and tilting up to 5000 times. As this is the first report on flexible self-heated CFO gas sensors, we believe that this research holds great promise for the future development of high-quality sensors based on this approach.