O2 sensors usually have a ring seal. I've seen two types, a flat copper washer and folded steel compression type ring seal/washer, that looks just like a spark plug washer/ring seal.
Maybe your washer/ring seal fell off or it never had one and it was something they missed in quality control.
I've heard them called O2 sensor crush gaskets, seals, ring seals, washers or just plain old gasket. They have an 18 MM hole in the center and are usually 1.5 MM thick.
I always paint the O2 sensor threads with (true) copper paste, being real careful not to paint the first 3/16" or so of threads, don't want to get that stuff on the sensor probe. Copper paste dries hard and makes a seal, but doesn't really bond and you can get O2 sensor back out of there again.