Magnetic ferrites such as Fe₃O₄ and Fe₂O₃ are extensively used in a range of applications because they are inexpensive and chemically stable. Here we show that rhodium-substituted ε-Fe₂O₃, ε-Rh_xFe_2−xO₃ nanomagnets prepared by a nanoscale chemical synthesis using mesoporous silica as a template, exhibit a huge coercive field (H_c) of 27 kOe at room temperature. Furthermore, a crystallographically oriented sample recorded an H_c value of 31 kOe, which is the largest value among metal-oxide-based magnets and is comparable to those of rare-earth magnets. In addition, ε-Rh_xFe_2−xO₃ shows high frequency millimetre wave absorption up to 209 GHz. ε-Rh_0.14Fe_1.86O₃ exhibits a rotation of the polarization plane of the propagated millimetre wave at 220 GHz, which is one of the promising carrier frequencies (the window of air) for millimetre wave wireless communications.