Synthesis of Co9Se8 phase from metallic cobalt and selenium powders by one-pot mechanochemical synthesis in a planetary ball mill and subsequent thermal treatment in argon atmosphere is reported. Crystal structure and morphology of the products were characterized by X-ray diffraction, specific surface area measurements, and transmission electron microscopy. Our study revealed that only mixture with excess of Co resulted in the formation of higher fraction of the Co9Se8 phase. While milling of Co and Se in 13.5:8 ratio resulted in the synthesis of nanocrystalline hexagonal CoSe (freboldite) and only around 13 wt.% of the targeted Co9Se8 phase, additional isothermal treatment at 450 °C increased yield of the Co9Se8 phase to more than 70%. Optical properties of the product with the highest Co9Se8 fraction showed broad absorption in whole UV–Vis optical region and band-gap energy of 1.93 eV, blue-shifted relative to the bulk Co9Se8. Both UV–Vis and photoluminescence spectra indicated quantum size effect of the finest nanocrystals in Co9Se8 product. The new combined approach represents a simple, fast, and easy up-scalable route for the synthesis of Co9Se8.