Why my engine light goes on for a while when gas is low,a friend told me that is oxygen sensor

O2 sensor has nothing to do with the level of gas in the tank.

What engine light are you talking about? Is it the low fuel light? Is it the check engine light?

Check for codes, using a code reader or scan tool.

If it is indeed the 02 sensor, it would probably keep the CEL light on. Sure it's not the low fuel indicator, nothing to do with the fuel level.