I don't know about that Ruby/Gem, but your app registration is not correct.
You need to configure your app for explicit OAuth2, per this other answer, except enter localhost
instead of example.com
.
(The localhost is based on the original version of the question. If you have a registered domain, use that.)
Then, in your ruby code:
config.omniauth: stackexchange, 'CLIENT_ID', 'CLIENT SECRET', callback_url: 'http://localhost:3000/'
(Assuming the rest of that devise.rb
code was correct. But see the OmniAuth StackExchange doc/GitHub about that.)