In this work, we present conductometric gas sensors based on p-type calcium iron oxide (CaFe2O4) nanoparticles. CaFe2O4 is a metal oxide (MOx) with a bandgap around 1.9 eV making it a suitable candidate for visible light-activated gas sensors. Our gas sensors were tested under a reducing gas (i.e., ethanol) by illuminating them with different light-emitting diode (LED) wavelengths (i.e., 465–640 nm). Regardless of their inferior response compared to the thermally activated counterparts, the developed sensors have shown their ability to detect ethanol down to 100 ppm in a reversible way and solely with the energy provided by an LED. The highest response was reached using a blue LED (465 nm) activation. Despite some responses found even in dark conditions, it was demonstrated that upon illumination the recovery after the ethanol exposure was improved, showing that the energy provided by the LEDs is sufficient to activate the desorption process between the ethanol and the CaFe2O4 surface.