How to decide a Filter circuit and Cut-off frequency to my application?
The first thing that is determined is the frequency range of interest. This can be done by looking at datasheets which sometimes list the sensor bandwidth (in Hz). Most sensors work from DC up to a higher frequency (but not all), these a lowpass filter would be best. Some sensors don't work at DC, these are capacitively coupled, in that case a bandpass or highpass filter would be best.

Filters are usually used to lower the bandwidth and select out noise. If there is a noise source in the frequency range of interest, then sometimes sensor signal is sacrificed an filtered out  (like if you had a sensor that had a range of DC to 1kHz, it might be necessary to to have a low pass filter just below 60Hz to filter out unwanted AC mains noise (or a notch filter)). 

The other way is to ask "what is my sampling rate?" If the ADC only samples at say 10Hz, it won't make sense to have a filter pole above 10Hz.

Since the gas sensor doesn't have a bandwidth listed in the datasheet (or capacitance or source impedance) it's hard to say what the bandwidth is. But this can be estimated from this graph. It appears that the fastest response is 5 seconds, which would be 0.2Hz. This is a slow sensor. Maybe a good frequency would be a LPF at 1Hz for starters, or you could go faster at 5Hz and see if the sensor responds faster than this, if it doesn't then drop the filter pole lower. 

 

If your interfacing this to an STM32 keep in mind that the sensor output is 4V max and the STM32 ADC range is usually 3.3V, so it might be good to have an attenuation stage along with a filter.