In order to realize the sensing probe of micro-scale liquid and gas in fiber cavity ring-down spectroscopy system, a new method of fabricating microfluidic sensing devices is proposed. The micro-cavity on single mode 980 nm and 1550 nm fibers by direct writing is achieved with a focused near-IR 800 nm femtosecond laser beam. The width of the cavity is 4 μm, with the depth of 80 μm. The micro cavity directly written by femtosecond laser is successfully applied into fiber-loop ring-down (FLRD) spectroscopy, and its detection principle is analyzed. It is used in micro-cavity liquid absorb detection, and the relation between the detected ring-down time, the loss and the liquid concentration is deduced. With this micro-cavity, FLRD spectroscopy can realize gas and fluidic absorption measurement on micro-scale.