Motion plays an essential role in sensory acquisition. From changing the position in which information can be acquired to fine scale probing and active sensing, animals actively control the way they interact with the environment. In olfaction, movement impacts the time and location of odour sampling as well as the flow of odour molecules around the olfactory organs. Employing a detailed spatiotemporal analysis, we investigate how the insect antennae interact with the olfactory environment in a species with a well studied olfactory system - the American cockroach. Cockroaches were tested in a wind-tunnel setup during the presentation of odours with different attractivity levels: colony extract, butanol and linalool. Our analysis revealed significant changes in antennal kinematics when odours are presented, including a shift towards the stream position, an increase in vertical movement and high-frequency local oscillations. Nevertheless, the antennal shifting occurred predominantly in a single antenna while the overall range covered by both antennae was maintained throughout. These findings hold true for both static and moving stimuli and are more pronounced for attractive odours. Furthermore, we find that upon odour encounter, there is an increased occurrence of high-frequency antennal sweeps and vertical strokes, which are shown to impact the olfactory environment's statistics directly. Our study lays out a tractable system for exploring the tight coupling between sensing and movement, in which antennal sweeps, in parallel to mammalian sniffing, are actively involved in facilitating odour capture and transport, generating odour intermittency in environments with low air movement where cockroaches dwell.