Perhaps the most successful application of plasmonics to date has been in sensing, where the interaction of a nanoscale localized field with analytes leads to high-sensitivity detection in real time and in a label-free fashion(1-9). However, all previous designs have been based on passively excited surface plasmons, in which sensitivity is intrinsically limited by the low quality factors induced by metal losses. It has recently been proposed theoretically that surface plasmon sensors with active excitation (gain-enhanced) can achieve much higher sensitivities due to the amplification of the surface plasmons(10-12). Here, we experimentally demonstrate an active plasmon sensor that is free of metal losses and operating deep below the diffraction limit for visible light. Loss compensation leads to an intense and sharp lasing emission that is ultrasensitive to adsorbed molecules. We validated the efficacy of our sensor to detect explosives in air under normal conditions and have achieved a sub-part-per-billion detection limit, the lowest reported to date for plasmonic sensors(7,13-18) with 2,4-dinitrotoluene and ammonium nitrate. The selectivity between 2,4-dinitrotoluene, ammonium nitrate and nitrobenzene is on a par with other state-of-the-art explosives detectors(19,20). Our results show that monitoring the change of the lasing intensity is a superior method than monitoring the wavelength shift, as is widely used in passive surface plasmon sensors. We therefore envisage that nanoscopic sensors that make use of plasmonic lasing could become an important tool in security screening and biomolecular diagnostics.