The formation of hollow nanoparticles of alumina was detected when nanostructured carbon–aluminum material, synthesized by composite electrode sputtering in an electric arc, was annealed in oxygen. The synthesized material was characterized by the methods of transmission electron microscopy, thermogravimetry, and roentgen-phase analysis. It is shown that the alumina is the γ-phase; the typical size of particles is 6 - 12 nm and they have a wall thickness of 2 - 3 nm. The mechanism of formation of the hollow nanoparticles of alumina is suggested.