A systematic investigation is carried out in order to determine the response of a constant-temperature hot-wire anemometer in compressible subsonic flow. An empirical expression for the instantaneous heat transfer from the sensor has been successfully fitted to extensive calibration data, which were collected specifically for this purpose. This expression leads to analytical expressions for the sensitivity coefficients of the anemometer output to velocity, density, pressure, and total-temperature fluctuations. The previously claimed equality of the velocity and density sensitivity coefficients in compressible subsonic flows is strongly contradicted by the present analysis and experimental data, which show that, under certain subsonic conditions, the velocity sensitivity decreases dramatically and even vanishes, whereas the density sensitivity retains relatively large values. Finally, a practical expression for the error in the velocity variance estimated from the hot-wire voltage fluctuations by neglecting pressure and total-temperature fluctuations has been derived. When evaluated for the present sensors, the error bound is found to become large, especially for Mach numbers near 0.8.