Check engine comes back on after replacing o2 sensor

Yet another case of AutoZone (and other PARTS STORES) lending diagnostic code readers without any guidance as to what diagnostic trouble codes tell you. There is no code at all that can tell you an oxygen sensor (or any other component) has specifically failed. It can only tell you that there is an electrical symptom in the circuit, or an out of range reading when it comes to fuel and air mixtures as noted in the values recorded by the sensor. You got a code that said there's a system problem. They sold you a sensor. You replaced it. It did not fix the symptom. Simply put, a proper diagnostic test routine must be performed on your vehicle. Retrieving diagnostic trouble codes is a way to get helpful clues to determine what your failure may be. But no code-pulling can in itself provide you the answer as to what's wrong with your vehicle.