Chemotaxis, or directed motion in chemical gradients, is critical for various biological processes. Many eukaryotic cells perform spatial sensing, i.e. they detect gradients by comparing spatial differences in binding occupancy of chemosensory receptors across their membrane. In many theoretical models of spatial sensing, it is assumed, for the sake of simplicity, that the receptors concerned do not move. However, in reality, receptors undergo diverse modes of diffusion, and can traverse considerable distances in the time it takes such cells to turn in an external gradient. This sets a physical limit on the accuracy of spatial sensing, which we explore using a model in which receptors diffuse freely over the membrane. We find that the Fisher information carried in binding and unbinding events decreases monotonically with the diffusion constant of the receptors.