This happened to me last year. It just shook itself loose over time. Since I had a constant CEL indicating the EGT probe was bad anyway I simply replaced it with a bolt coated in copper gasket maker. Not sure if the gasket sealer made any difference but I checked it the other day when I installed new plugs and it hasn't moved.
As for the EGT probe I tossed it and plugged a resistor from Radio Shack into the wiring harness. Here's the tutorial