Although unique properties such as creation of non-diffracting beams and as a result the large focal depth have been exhibited from axicon lenses, and numerous important applications in optical signal processing and imaging have been demonstrated, axicons of dimensions smaller than a hundred of micrometers have not yet been reported. It is technically quite challenging for the currently available technologies including lithography and mechanical shaping to define complicated three-dimensional surface profiles depicted by lens functions in the small scale. Here, we report the solution of the issue by use of femtosecond laser nanofabrication via two-photon polymerization of resins. Not only well-defined monolithic micro axicons are attained, they demonstrate excellent optical characteristics: the cross-sectional Besselian beam intensity distribution was found almost unchanged for at least 200 mu m within the focal range; imaging remains unblurred and in high contrast in a much wider range than that for a common lens. The direct laser nanowriting strategy would allow the lens integrated with other optical components produced the same way, or incorporated to an existing micro-optical system.