Its most likely the sensor itself - they are a common failure. It is a simple thermal switch. The connector is unlikely to have come loose as its one of the standard econoseal sealed types used throughout.
Its on the side of the cooler as Gilbert says - it is the same on a diesel, though the cooler is obviously in front of the left wheel behind the bumper.
If you unplug the sensor, the message will pop up permanently. Shorting the two wires to the sensor together will clear it - whether you leave that as a permanent fix or temporary is up to you.
Southampton with a Nanocom for Thor/GEMS P38s
1996 4.6 HSE, then became a 4.0, now cubed.
1997-8 4.6 HSE Motronic/Wabco prototype vehicle. Now M57 powered. Still auto.