Millimeter waves (30-300 GHz) are starting to be used in next generation high-speed wireless communications. To avoid electromagnetic interference in this wireless communication, finding a suitable electromagnetic wave absorber in the millimeter wave range is an urgent matter. In this work, we prepared a high-performance millimeter wave absorber composed of a series of aluminum-substituted E-iron oxide, epsilon-AlxFe2-xO3, nanomagnets (0 <= x <= 0.40) with a particle size between 25 and 50 rim. The materials in this series have an orthorhombic crystal structure in the Pna2(1) space group, which has four nonequivalent Fe sites and Al ion that predominantly occupies the tetrahedral [FeO4] site. The field-cooled magnetization curves showed that the T-C values were 448, 480, and 500 K for x = 0.40, 0.21, and 0, respectively. The magnetization versus external magnetic field showed that the coercive field H-c values at 300 K were 10.2, 14.9, and 22.5 kOe for x = 0.40, 0.21, and 0, respectively. The millimeter wave absorption properties were measured at room temperature by terahertz time domain spectroscopy. The frequencies of the absorption peaks for x = 0.40, 0.30, 0.21, 0.09, 0.06, and 0 were observed at 112, 125, 145, 162, 172, and 182 GHz, respectively. These absorptions are due to the natural resonance achieved by the large magnetic anisotropies in this series. Such frequencies are the highest ones for magnetic materials. Because aluminum is the third most abundant atom, aluminum-substituted epsilon-iron oxide is very economical, and thus these materials are advantageous for industrial applications.