Ultra-lightweight, high ductility, high strength, and multi-functionality are recent development trends in concrete. This study proposed a design concept of multifunctional ultra-lightweight engineered cementitious composites (ULW-ECCs) without functional fillers using fly ash cenosphere (FAC) and polyethylene (PE) fibre, which has heat insulation, self-sensing, and self-healing functions. The mechanical (tension, compression, flexure) and corresponding self-sensing properties under monotonic and cyclic loading, self-healing, thermal conductivity, and thermal effusivity properties were examined. The ULW-ECCs were developed based on the maximum packing density of the matrix, which showed high pseudo-strain-hardening indices and had an apparent density of 1055–1333 (Oven-dry density: 946–1261) kg/m3, compressive strength of 36–58 MPa, and a tensile strain capacity of 4%–8% under standard curing condition. With the use of FAC with a highly stiff shell, the ULW-ECCs show high strength and high thermal insulation properties. ULW-ECCs incorporating FAC show excellent self-sensing properties without any conductive fillers under compression, bending and tension. The electromechanical behaviour was consistent and repeatable during cyclic and monotonic loading processes, and a microstructure model was used to explain the self-sensing mechanism. The cement paste in the matrix can form a 3D-like honeycomb structure because a large number of FACs evenly divide the cement paste, which shows sensitive self-sensing ability. Additionally, the multiple micro-cracks of ULW-ECCs show excellent self-healing properties. Optical microscope and SEM analyses of ULW-ECC were used to explain the results. The developed multifunctional ULW-ECCs without functional fillers would be a promising material for sustainable development.