We report the demonstration of fiber Bragg grating (FBG) fabricated in silica capillary fiber by use of femtosecond laser. The FBG is inscribed in the silica cladding surrounding the air core by a transversal scanning method through a phase mask. Multimode resonances which result from the overlap of the grating structure and the cladding modes transmitting in the capillary fiber, are observed in the reflection spectra. Sensing capability the FBG is exemplified by infiltrating the hollow core with liquids of different refractive indices (RIs), and shift in resonant wavelengths is observed. The temperature characteristic is investigated with a heating treatment from room temperature to 1000°C. Linear wavelength response is exhibited, with temperature sensitivity of 8 pm/°C. The FBG can be finding applications as optofluidic element for biochemical sensing.