This is a fairly common misconception. Carbon dioxide sensors of the nondispersive infrared type are not easily affected by atmospheric contaminants. They are made with particulate filters, and their innards are generally plated with a non-reactive precious metal. While you can’t dip them in paint, they should survive just fine in normal concentrations of painting vapors.

Gas sensors based on solid-state (Figaro®) sensors are another story entirely. Their sensing surfaces are designed to react chemically with volatile organic compounds, which are exactly what drying paint gives off. Thus, high levels of paint fumes can easily poison them. VOC sensors, lower-end carbon monoxide sensors, and other toxic or combustible gas sensors based on a solid-state element should be removed from the room prior to painting in order to protect them. Note that simply covering them with plastic won’t do the trick unless it’s airtight.