Most Cozys have an internal sensor. It sounds like you have a unit with an external sensor. Please attach the sensor to the wall, making sure the sensor is facing into the room.
If you hear the fan turn on when you unplug and plug in your Cozy, then your Cozy is working properly.
Note that the Cozys in your building are likely to use an older firmware and the red blinking light actually indicates that they are working properly - apologies for the confusion!
Please "Submit a Request" if this didn't answer your questions about your Cozy!