Select appropriate bandwidth for sensor (MEMS gyroscope)
By the context I take it by 'sensor bandwidth' you are referring to the frequency range you are going to measure using the sensor, and not the frequency response of the sensor itself.

The cutoff frequency depends on the maximum frequency components of the measured process. What is is exactly that you are trying to observe with the sensor? Get some data sets of this process and determine where the frequency components are. From this you can set the analog filter to remove all noise components higher than this value.

Note also that due to Nyquist rate, the cutoff frequency should be less than half the sampling frequency.