The aim of this study was to introduce bioactivity to the electrospun coating for implantable glucose biosensors. Coaxial fibre membranes having polyurethane as the core and gelatin as the shell were produced using a range of polyurethane concentrations (2, 4, 6 and 8% wt/v) while keeping gelatin concentration (10% wt/v) constant in 2,2,2-trifluoroethanol. The gelatin shell was stabilized using glutaraldehyde vapour. The formation of core–shell structure was confirmed using transmission/scanning electron microscopy and FTIR. The coaxial fibre membranes showed uniaxial tensile properties intermediate to that of the pure polyurethane and the gelatin fibre membranes. The gelatin shell increased hydrophilicity and glucose transport flux across the coaxial fibre membranes. The coaxial fibre membranes having small fibre diameter (541 nm) and a thick gelatin shell (52%) did not affect the sensor sensitivity, but decreased sensor's linearity in the long run. In contrast, thicker coaxial fibre membranes (1133 nm) having a thin gelatin shell (34%) maintained both sensitivity and linearity for the 84 days of the study period. To conclude, polyurethane-gelatin coaxial fibre membranes, due to their faster permeability to glucose, tailorable mechanical properties and bioactivity, are potential candidates for coatings to favourably modify the host responses to extend the reliable in vivo lifetime of implantable glucose biosensors.