Thermal stability of the boron nitride nanowalls (BNNWs) obtained by plasma-enhanced chemical vapor deposition (PECVD) from borazine (B₃N₃H₆), in oxidative (air) and inert (argon) atmospheres was studied. The annealing caused the sample surface oxidation with the replacement of nitrogen atoms by oxygen in the hexagonal h-BN structure, which led to a destruction of the layered structure. Strong UV light emission with a broad band ranging from 300 to 500 nm at room temperature was detected. Changes in composition, morphology, structure and luminescent properties of the samples before and after annealing in different atmospheres are reported. The BNNWs obtained at 700 °C from B₃N₃H₆-NH₃ mixture were stable at the temperatures up to 1100 °C and improved their luminescence properties after annealing. Due to high thermal stability and luminescence the present BNNWs may find applications in the optical devices operating at high temperatures.