I had the same exact problem 2 weeks ago.
I bought this cable that contains the tempreature sensor: This is the part no.
HP Z800 468626-003 Front I/O Cable Kit New 534888-001 Replacing the cable is hard check with HP workstation customer service they will direct you to the videos that shows you how to do it. After you replace it, you need to go to your bios and under "Thermal" adjust the fan speed to one notch.
However, you might want to go to your bios right now before your replace anything. Press F10 as you boot to make sure that the fan speed is set to one notch before trying to replace the cable.