Optically transparent liquid marbles were made from water and glycerol drops embedded in surface-treated fumed silica nanoparticles. The mechanical robustness of such liquid marbles is shown to be greater than similar marbles made from microparticulate poly(tetrafluoroethylene), both under compressive and tensile loading conditions. Using liquid evaporation data and environmental scanning electron microscope images, we demonstrate that their robustness may be attributed to a nanoparticulate elastic thin film that self-assembles on the liquid-vapor interface.