In this study, a novel flexible ethanol gas sensor was created by the deposition of a CoFe2O4 (CFO) thin film on a thin mica substrate using the pulsed laser deposition technique. 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 of 19.2 to 100 ppm ethanol. Operating the sensor in self-heating mode under 7 V applied voltage, which corresponds to a temperature of approximately 200 °C, produced a maximal response of 19.2 to 100 ppm ethanol. 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.