Just bought an iPhone 6 three weeks ago, and have migrated over from my iPhone 5. Went to connect the Nike Running app with my Nike+ shoe sensor, and there was no setting for finding it. I was a little dismayed to see that on my iP5 w/ iOS 8.1.2 the shoe sensor still works, but with my iP6 w/ iOS 8.1.2 there is no provision.
After finding this thread I see Apple has abandoned support for the shoe sensor in their newest phones. The shoe sensor was developed for use with the iPhone 3G and 3Gs, back before there were gyroscope (only accelerometer) or pedometer type feedback in those phones, and definitely before Apple wanted to run all "health" feedback through their own app. With the iP6, these sensors are incorporated into the phone, and the health app in iOS 7/8 and the M8 motion coprocessor make a separate sensor redundant, so I can see why Apple (or maybe Nike) have deprecated the sensor, but I find that the sensor in the shoe works a lot better than in the phone for precisely the reason that others have stated: use on a treadmill. Of course, the treadmill does provide feedback like distance run, speed, and calories burned, but none of that works into my Nike account, or the "health" app.
I wish we could somehow get Apple or Nike on board with allowing the Nike+ sensor to work with the iPhone 6/6+ and future iPhones for those users who wish to log their elliptical/treadmill workouts. However, if they have abandoned support for the future of the iPhone, I foresee two things happening:
1) Nike will stop manufacturing the Nike+ sensor, and once the current stock runs out of batteries and dies, there will be limited supply to get to work with your old devices. I've seen some people take apart their sensor to replace the battery, but it clearly wasn't designed for this.
2) Nike may stop manufacturing shoes that have the cavity under the sock liner, and then the sensor will have to be mounted in a pouch on your laces or left behind.