Oh, gotcha...so my headers had O2 sensor ports (bungs) right at the collectors where they connect to the downpipes. Each side of the exhaust (Left / Right) has two O2 sensors. Total of 4 sensors.
The "upstream" sensor on mine gets screwed into the Header bung at the collector. My midpipes were stock with Cats, but had no O2 bungs...so I had them welded in after the cats. These are the downstream sensors that you need to extend the wires for.
I'm guessing, but it sounds like you have the upstream sensors installed, but the downstream sensors removed. This will definitely cause a CEL. The upstream measures the O2 level before the cat, and the downstream measures the O2 level after the cat...the exhaust should be "cleaner" after. Since you're likely not measuring anything after, you'll get the CEL.
Hope that makes sense.
2013 3.8 Track, A/T
Magnaflow CBE dual exhaust
Drop in K&N airfilter
Stance Super Sport Coilovers
Enkei RPF1 18x9.5 wheels (Autocross only)