Here we report the formation of void (hole) structures when concentrated colloidal solutions of magnetic nanocrystals are subjected to a magnetic field during slow evaporation. This presents a new type of solid mesostructure obtained by self-assembly of nanocrystals. The voids are characterized by a cylindrical shape with either circular or elliptical base. We show that the morphology of these patterns is essentially controlled by the fraction of the volume occupied by the magnetic phase to the total volume of the film. Monte Carlo simulations carried out using a Stockmayer fluid model agree remarkably well with the experiments for the formation of void structures in the range of considered volume fractions.