I talked to the manafacturer of this type of termocoupled sensors, and it turns out that the mantel which containing the termocoupling (the metal-sticker which feels the exhaust temp) is normally filled by aluminium oxide. In case if this mantel is not properly sealed, it will suck humidity and give a false reading. However, after a stay in hot enviroment, it quickly will get rid of the humidity and sensor back to OK.
I still have left to do the physical test described by Rob, but this looks very much like the possible problem.