Is there such thing as a gas that can sink?

A gas will always have a lower density than its corresponding solid or liquid, and thus could not sink in its own liquid.

Gasses can, of course, be absorbed/dissolved into liquids.

One of the least dense liquids would be liquid hydrogen with a density of about 67.8 kg/m3

One of the densest gasses (at 1 ATM) is Radon Gas at about 9.73 kg/m3. Thus, it would still float in liquid hydrogen at 1 ATM.

However, the density of gasses is a function of the pressure and temperature, so at extreme pressures, Radon gas would likely sink in liquid hydrogen.

The density of the atmosphere at the surface of Venus is about 67 kg/m3, and thus it might sink in liquid hydrogen (ignoring, of course, the temperature and pressure differences).