You can't use an array.
Or rather, you would need to pick a size, and if you ended up needing more then you would have to allocate a new, larger, array, copy the data from the old one into the new one, and continue on as before (until you exceed the size of the new one...)
Generally, you would go with one of the collection classes - ArrayList, List<>, LinkedList<>, etc. - which one depends a lot on what you're looking for; List will give you the closest thing to what i described initially, while LinkedList<> will avoid the problem of frequent re-allocations (at the cost of slower access and greater memory usage).
Example:
List<float[]> _calibrationSet = new List<float[]>();
// ...
while (recordsToRead)
{
float[] record = new float[SensorCount];
for (int i = 0; i < SensorCount; i++)
{
record[i] = calibrationArrayView.ReadFloat();
}
_calibrationSet.Add(record);
}
// access later: _calibrationSet[record][sensor]
Oh, and it's worth noting (as Grauenwolf did), that what i'm doing here doesn't give you the same memory structure as a single, multi-dimensional array would - under the hood, it's an array of references to other arrays that actually hold the data. This speeds up building the array a good deal by making reallocation cheaper, but can have an impact on access speed (and, of course, memory usage). Whether this is an issue for you depends a lot on what you'll be doing with the data after it's loaded... and whether there are two hundred records or two million records.