Quantification of individual behaviours using mobile sensing devices, including physical activity and spatial location, is a rapidly growing field in both academic research and the corporate world. In this case study, we summarize the literature examining the ethical aspects of mobile sensing and argue that a robust discussion about the ethical implications of mobile sensing for research purposes has not occurred sufficiently in the literature. Based on our literature summary and guided by basic ethical principles set out in Canadian, US, and International Ethics documents we propose four areas where further discussion should occur: consent, privacy and confidentiality, mitigating risk, and consideration of vulnerable populations. We argue that ongoing consent is crucial for participants to be aware of the precision and volume of data that is collected with mobile sensing devices. Related to privacy we discuss that participants may not agree that anonymized data is sufficient for privacy and confidentiality when mobile sensing data are collected. There has been some discussion about mitigating risk in the literature. We highlight that the researchers' obligations toward mitigating risks that are not directly related to the study purpose are unclear and require considerable discussion. Finally, using mobile sensing devices to study vulnerable populations requires careful consideration, particularly with respect to balancing research needs with participant burden. Based on our discussion, we identify a broad set of unanswered questions about the ethics of mobile sensing that should be addressed by the research community.