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In actual application, sensors are prone to failure because of harsh environments, battery drain, and sensor aging. Sensor fault location is an important step for follow-up sensor fault detection. In this paper, two new multi-level wavelet Shannon entropies (multi-level wavelet time Shannon entropy and multi-level wavelet time-energy Shannon entropy) are defined. They take full advantage of sensor fault frequency distribution and energy distribution across multi-subband in wavelet domain. Based on the multi-level wavelet Shannon entropy, a method is proposed for single sensor fault location. The method firstly uses a criterion of maximum energy-to-Shannon entropy ratio to select the appropriate wavelet base for signal analysis. Then multi-level wavelet time Shannon entropy and multi-level wavelet time-energy Shannon entropy are used to locate the fault. The method is validated using practical chemical gas concentration data from a gas sensor array. Compared with wavelet time Shannon entropy and wavelet energy Shannon entropy, the experimental results demonstrate that the proposed method can achieve accurate location of a single sensor fault and has good anti-noise ability. The proposed method is feasible and effective for single-sensor fault location.