Platinum nanoparticles (PtNPs) are classical peroxidase-like nanozyme; self-agglomeration of nanoparticles leads to the undesirable reduction in stability and catalytic activity. Herein, a hybrid peroxidase-like nanocatalyst consisting of PtNPs in situ growing on g–C3N4 nanosheets with enhanced peroxidase-mimic catalytic activity (PtNP@g–C3N4 nanosheets) was prepared for H2O2 and oxidase-based colorimetric assay. g–C3N4 nanosheets can be used as carriers to solve the problem of poor stability of PtNPs. We observed that the catalytic ability could be maintained for more than 90 days. PtNP@g–C3N4 nanosheets could quickly catalyze the oxidation of 3,3′,5,5′-tetramethylbenzidine (TMB), and the absorbance of blue color oxidized TMB (oxTMB) showed a robust linear relationship with the concentration of H2O2 (the detection limit (LOD): 3.33 μM). By utilizing H2O2 as a mediator, this strategy can be applied to oxidase-based biomolecules (glucose, organophosphorus, and so on, that generate or consume hydrogen peroxide) sensing. As a proof of concept, a sensitive assay of cholesterol that combined PtNP@g–C3N4 nanosheets with cholesterol oxidase (ChOx) cascade catalytic reaction was constructed with an LOD of 9.35 μM in a widespread range from 10 to 800 μM (R2 = 0.9981). In addition, we also verified its ability to detect cholesterol in fetal bovine serum. These results showed application prospect of PtNP@g–C3N4 nanosheets-based colorimetry in sensing and clinical medical detection.