Magnetic hollow nanoparticles (HNPs) are of particular interest owing to their broad applications including targeted drug delivery and magnetic resonance imaging. Here, hollow Co₂FeAl full-Heusler NPs were successfully synthesized using the polyethylene glycol polymer as a capping agent, followed by thermal annealing at 700 °C with heating rates ranging between 5 and 15 °C min⁻¹. Increasing the heating rate up to 15 °C min⁻¹ decreased the mean particle size, as characterized by scanning and transmission electron microscopy (TEM). High resolution TEM images revealed the highly crystalline nature of the HNPs with different grain size. A maximum saturation magnetization of 95 emu g⁻¹ and coercivity of 730 Oe were obtained using heating rates of 5 and 10 °C min⁻¹, respectively. Alternatively, first-order reversal curve (FORC) measurements at room temperature revealed the formation of a mixture of single-domain and superparamagnetic (SP) grains due to the presence of a wide range of particle sizes. With the increase in the heating rate, the SP contribution increased, which resulted in a decrease in the inter-particle magnetostatic interactions. Thereby, the average coercivity obtained from hysteresis curve was approached to FORC coercivity.