MicroRNAs (miRNAs) are small noncoding RNAs that play posttranscriptional, regulatory roles in various biological processes. However, there has been limited investigation into the potential function of miRNAs in olfaction. The coleopteran Holotrichia parallela is an economically important pest, and miRNAs have been identified in only one coleopteran (Tribolium castaneum). Therefore, this study was conducted to identify miRNAs expressed in the antennae of H. parallela and obtain insights into their possible roles in olfaction. By combining deep sequencing and miRDeep2 software, a total of 99 miRNAs, including 76 conserved miRNAs and 23 novel miRNAs, were identified from H. parallela antennae. The 76 conserved miRNAs belong to 63 families and the other 23 may be species specific or tissue specific. The identified miRNAs have many conserved features of miRNAs. Evaluation of the conservation of the identified miRNA families across different species revealed that most of the families are insect specific. The prediction and annotation of targets suggested that 13 of the identified miRNAs participate in olfactory regulation. Gender differences in antennal expression of nine of the olfactory‐related miRNAs were confirmed by quantitative real‐time PCR.