I had that same question when I was looking into building my own in-the-bumper style CAI... what to do with that sensor?
The sensor is an ambient air temp sensor and coolant valve all in one.
While I had mine off the car, I decided to test it to see how it works.
At normal room temperature the valve is open (allowing coolant to flow through the throttle body).
I tried freezing it in my freezer to see if cold conditions make it close... nope.
Then I heated the sensor side over an open flame on my stove, and as it got hot it slowly closed.
I wouldn't think that the air temperature inside the airbox would ever get "open flame" hot, but I believe the added heat of the coolant running through it also adds to what it "senses" for overall temp.
So apparently, when the ambient air temperature inside the airbox is cool or cold (i.e. first thing in the morning and during the winter), it allows coolant to flow to the throttle body to prevent it from freezing up and once the airbox temps have increased (in combination with the coolant warming up) it closes to block the flow of coolant to the throttle body.
Here is the OEM configuration of the sensor and coolant lines.
This configuration by-passes the the sensor and throttle body completely and keeps the intake temps nice and cool (the throttle body is still cool to the touch after 30 minutes or more of driving).
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