Hysteresis may be involved in the reason for that effect, but that's not what hysteresis is.
Hysteresis is when applying a load to a system causes it to not return to it's original state after the load is removed. The most common example is permanent magnets. If you apply a magnetic field to a piece of iron, it deforms, microscopically into a bar magnet, creating an even stronger magnetic field. When the original magnetic field is removed, the field due to the creation of the bar magnet remains.
For your temperature sensor example, imagine if you kept your sensor in an ice bath, where it read 0C. Then, you put the sensor in a pot of hot water reading 100C. Then, you bring the sensor back to the ice bath, and it suddenly reads 5C. What happened is that the exposure to the high temperature warped/broke your sensor in such a way that the calibration is broken, and now, what should read as 0C is now reading off. This permanent warping is an example of hysteresis.