In this paper, a novel graphene-coated microfiber Bragg grating (GMFBG) sensor is proposed and demonstrated for detection of gas concentration, for the first time. Taking advantage of the surface field enhancement and polar molecular adsorption by the graphene film, we find that this structure is very sensitive to local chemical gas concentration, and the obtained sensitivities are 0.2 and 0.5ppm for NH3 and Xylene gas for tiny gas variation, respectively. Such a miniature GMFBG sensor could find applications in biological or chemical sensing, such as for trace analysis.