We used laser ablation to fabricate sub-wavelength structure anti-reflection coating (SWS-ARC) on a 5 cm diameter alumina lens. With an aspect ratio of 2.5, the SWS-ARC are designed to give a broad-band low reflectance response between 110 and 290 GHz. SWS shape measurements give 303 μm pitch and total height between 750 and 790 μm height, matching or exceeding the aspect ratio design values. Millimeter-wave transmittance measurements in a band between 140 and 260 GHz show the increase in transmittance expected with the ARC when compared to finite element analysis electromagnetic simulations. To our knowledge, this is the first demonstration of SWS-ARC on an alumina lens, opening the path for implementing the technique for larger diameter lenses.