Photo.

That's a bi-metal thermostat. They're not so much a sensor as a control that's either on or off. Typically used as an overheat protector or to control the drum/air temperature on a dryer and such. The button on back where the wires are connected may be a manual reset for when it trips (some are auto-reset when they cool, some are manual reset). I'm not an HVAC system expert but seems odd that such a device would be in the return airflow.

One of the set of numbers stamped on the metal edge is usually a code for the trip-temperature (and auto-reset differential). Do you have a camera that can get a readable closeup of them?

Every thing dadoes said is accurate and it's there incase of flames from a building fire.

What’s wrong with your thermostat?

What temperature do you want the room to be? Do you have a temperature gauge to verify the temperature? You can buy an inexpensive one on Amazon that measures temperature and humidity.

It is possible the thermostat is failing. When was the last time the heat pump was serviced? The color of the wires does not matter as long as they are connected to the correct terminals.