This paper presents a novel sensor design and application of long period fiber grating (LPFG) for detection of methane. A styrene-acrylonitrile nano-film incorporating cryptophane A, which is sensitive to methane in close vicinity to the surface, is constructed onto the cladding of long-period grating. For optimal design of the LPFG sensor, the relationship between the resonant wavelength shift and the complex refractive index of sensing film is analyzed based on the coupled-mode theory. The change in refractive index of the sensing film, induced by methane, can easily be obtained as a shift in resonance wavelength. The prepared LPFG sensor with time response of 50 s and good sensitivity (~0.375 nm %(-1)) suitable for the detection of methane below 3.5 vol. % is demonstrated. The response of the sensor (wavelength shift) is linear with methane concentration within our tested range and a detection limit of about 0.2% is estimated for the new sensor.