We report on the fabrication of binary Fresnel lenses by femtosecond laser surface ablation of poly(methyl methacrylate) (PMMA) substrates. Tight focusing of the laser pulses produced a minimum ablated feature size of 600 nm, enabling the creation of lenses with numerical apertures as high as 0.5 and focal lengths ranging from 500 µm to 5 mm. A precise control of the ablation depth allowed the achievement of a 30% focusing efficiency, close to the maximum theoretical value for this kind of lenses.