The citrus longhorn beetle Anoplophora chinensis (Forster) (Coleoptera: Cerambycidae) is a destructive polyphagous species, which has been documented on broadleaved tree hosts from 40 genera. The antennal transcriptomes from male and female A. chinensis were constructed separately. We analyzed and annotated differentially expressed genes (DEGs) between male and female A. chinensis. The putative olfactory genes among the DEGs were identified. De novo assembly acquired 25,733 and 25,420 unigenes from male and female A. chinensis, respectively. After removing the redundant unigenes, 39,955 all-unigenes were produced. For male A. chinensis, the mean length of unigenes was 923 bp, and that was 881 bp in female. 24,359 (60.97%) of the all-unigenes were annotated in the nr database and the rest 15,596 (39.03%) unigenes could not find clear homology with recorded genes. A total of 4,672 genes were differentially expressed between males and females. Compared with males, 2,241 (47.97%) of the DEGs were up-regulated and 2,431 (52.03%) were down-regulated in females. We identified 31 differentially expressed olfactory genes between male and female A. chinensis, including 14 OBPs, 7 ORs, 4 GRs and 6 SNMPs. Results from the present study provided essential clues for explaining the behavior difference between male and female A. chinensis, and important information for developing bait traps for A. chinensis.