Step 1: Understanding the Concept:
When fossil fuels like coal, petrol, or diesel are burnt, several gases are released due to combustion.
Carbon dioxide (CO$_2$): Released in large quantities.
Sulphur dioxide (SO$_2$): Released when fuels contain sulphur.
Oxygen (O$_2$): Not released; instead, it is consumed during combustion.
Step 2: Detailed Explanation:
Since oxygen is used in burning fossil fuels and not released as a by-product, the correct answer is oxygen gas.
Step 3: Final Answer:
The gas not released during fossil fuel combustion is Oxygen gas.