We investigate the electromagnetic response of a relativistic Fermi gas at finite temperatures. Our theoretical results are first-order in the fine-structure constant. The electromagnetic permittivity and permeability are introduced via general constitutive relations in reciprocal space, and computed for different values of the gas density and temperature. As expected, the electric permittivity of the relativistic Fermi gas is found in good agreement with the Lindhard dielectric function in the low-temperature limit. Applications to condensed-matter physics are briefly discussed. In particular, theoretical results are in good agreement with experimental measurements of the plasmon energy in graphite and tin oxide, as functions of both the temperature and wave vector. We stress that the present electromagnetic response of a relativistic Fermi gas at finite temperatures could be of potential interest in future plasmonic and photonic investigations.