The oxygen sensor is a device that sends information to the vehicle's computer, its work is to censor or measure oxygen levels in combustion gases, for example when there is a lot Fuel, all this happens at a frequency of 1 time per second.
Now if you remove the sensor, you will consume more fuel, because the computer does not receive information, enter a combustion cycle such as when you start it in the mornings.
The oxygen sensor needs to be hot to work, in that period in which it is still cold, the computer enters a closed cycle, consuming more fuel, until the sensor achieves its ideal temperature.
The other thing that can happen, if you remove the sensor, is to throw an error message in "Cheq Engine".
I recommend changing it and period.