We apply femtosecond laser direct writing in photopolymers for manufacturing of conical microlenses and closely packed arrays thereof. We demonstrate the fabrication of high optical quality axicons of 15 µm in radius, having 150°, 160°, and 170° cone angles. Their optical properties and performance are modeled using the finite-difference time-domain method and compared with experimentally measured data. Additionally, optimization of the laser direct writing parameters regarding these types of micro-objects is presented. Possible applications of closely packed arrays of axicon microlenses are discussed, having potential attractivity in the fields of modern microscopy, light-based material processing, particle manipulation in microfluidic, and optofluidic applications.