Recently, two-dimensional (2D) material χ3-borophene has been synthesized in experiment. Combining density functional theory with non-equilibrium Green's function method, in the present work we theoretically investigated the adsorption behaviors of small gas molecules NO, NO2, NH3, CO and CO2 on χ3-borophene, and corresponding transport properties and sensing performance. Our results suggest that NO, NO2, NH3 and CO adsorb on this 2D material by chemical adsorption, while CO2 adopts physical adsorption. The transport properties of χ3-borophene are sensitive to the adsorption of NO, NO2, NH3 and CO, thus it can be used to construct gas sensor for these gas molecules. Especially, χ3-borophene is very sensitive to NO and, more interestingly, the sensing performance for NO can be greatly improved by applying in-plane strain. In addition, using semiconductor WSe2 as the substrate, we theoretically predicted a kind of van der Waals heterostructure. It is found that, although the adsorption behaviors of NO, NO2, NH3 and CO on χ3-borophene are hardly affected by the substrate, WSe2 can effectively enhance the stability of χ3-borophene and positively modulate the sensing performance, suggesting an actual way to realize χ3-borophene gas sensor.