Alumina, sapphire and silicon optical elements are used for the detection of cosmic microwave background radiation with its peak intensity between 0.5 and 10 mm. The reflectivity of such material is high but can be reduced with sub-wavelength structures acting as an anti-reflective coating. Required structure height of over 1 mm can be produced by laser machining. Using ultra-short laser pulses we machined > 1 mm high pyramidal structures on sapphire and alumina. The laser process has been optimized to achieve high area structuring speeds for 1 mm high structures, up to 425 mm²/h. The structured surfaces have been analysed with secondary-electron microscopy, optical confocal microscopy, and transmission spectroscopy in the 100 GHz range and provide an antireflection coating for optical elements in the millimeter wave-length.