We demonstrate an effective method to prepare wurtzite phase ZnSe nanoparticles from zincblende ZnSe single crystal using femtosecond pulse laser ablation. The fabricated ZnSe nanoparticles are in spherical shape and uncontaminated while synthesized under ambient environment. By controlling the laser fluences, the average size of ZnSe nanoparticles can be varied from 16 nm to 22 nm in diameter. In Raman spectra, the surface phonon mode becomes dominant in the smaller average particle size with uniform size distribution. The interesting phase transition from the zinc blende structure of ZnSe single crystal to wurtzite structure of ZnSe nanoparticles may have been induced by the ultrahigh ablation pressure at the local area due to the sudden injection of high energy leading to solid-solid transition.