They are usually interchangeable, and both usually mean [OED:] Raised to or existing in a strained or very high degree; very strong or acute; violent, vehement, extreme, excessive; of colour, very deep; of a feeling, ardent.
However, "intensive" differs in that only "intensive" can be used in certain contexts OED:
5 a. Econ. Applied to methods of cultivation, fishery, etc., which increase the productiveness of a given area: as opposed to extensive in which the area of production is extended.
1889 Nature 3 Oct. 558/2 The necessity for increased food productions calls for intensive methods.
5b. Suffixed to nouns. to form adjectives. with the sense ‘intensively using the thing specified’, as capital-intensive, labour-intensive.
1973 Nature 6 Apr. 378/2 Economies of scale have been operating in capital-intensive and graduate-intensive industries like chemicals, oil, electric power, steel, and computers.
8. intensive care: a form of medical treatment in which a patient is kept under concentrated and special observation; so intensive-care unit, etc.
1965 Math. in Biol. & Med. (Med. Res. Council) i. 40 He felt that patient monitoring was essential in the operating theatre and the intensive-care unit.
Only "intensive" can be a noun.
B. n. Something that intensifies; spec. in Grammar an intensive word or prefix: "It is very big." I am bloody annoyed!"