ZrO2-carbon nanotube (CNT) composites have been successfully synthesized via decomposition of Zr(NO3)4.5H2O in supercritical carbon dioxide-ethanol solution with dispersed CNTs at relatively low temperatures. The samples were characterized by X-ray photoelectron spectroscopy (XPS), X-ray diffraction spectroscopy (XRD), transmission electron microscopy (TEM), and energy-dispersive X-ray (EDX) analyses. It was demonstrated that CNTs were fully coated with an amorphous ZrO2 layer, and the coating layer was nominally complete and uniform. In addition, the thickness of the coating sheath could be readily controlled by tuning the Zr(NO3)4.5H2O/CNTs ratio used. Furthermore, the chemiluminescent sensor prepared from ZrO2-carbon nanotube composites exhibited dramatic sensitivity as well as high stability and selectivity to ethanol.