Gas explosion has always been an important factor restricting coal mine production safety. The application of machine learning techniques in coal mine gas concentration prediction and early warning can effectively prevent gas explosion accidents. Nearly all traditional prediction models use a regression technique to predict gas concentration. Considering there exist very few instances of high gas concentration, the instance distribution of gas concentration would be extremely imbalanced. Therefore, such regression models generally perform poorly in predicting high gas concentration instances. In this study, we consider early warning of gas concentration as a binary-class problem, and divide gas concentration data into warning class and non-warning class according to the concentration threshold. We proposed the probability density machine (PDM) algorithm with excellent adaptability to imbalanced data distribution. In this study, we use the original gas concentration data collected from several monitoring points in a coal mine in Datong city, Shanxi Province, China, to train the PDM model and to compare the model with several class imbalance learning algorithms. The results show that the PDM algorithm is superior to the traditional and state-of-the-art class imbalance learning algorithms, and can produce more accurate early warning results for gas explosion.