From Design of Electronics for Electrochemical Gas
For sensors which have 3 electrodes, (the majority of sensors for detecting toxic gases and EC410 Oxygen sensor), the circuit required is known as a potentiostatic circuit. This circuit can either have the sensing and reference electrodes at the same potential (non-biased) or the sensing and reference held at different voltages (a biased sensor).
The purpose of the sensor bias circuit (potentiostat) is to maintain the potential of the sensing electrode at a constant level with respect to the reference electrode. This is done by adjusting the voltage of a third ‘counter’ electrode.
As to why one would do that, I think you might need to ask over on Chemistry.SE, however, for the case of an SGX EC410 oxygen sensor, user Viktor Scherf wrote in a comment that:
The bias voltage is needed for chemical redaction of oxygen.