The equiatomic powder of AlCoCuFeNi high entropy alloy (HEA) was produced by mechanical alloying technique via ball milling. The powder achieved excellent compositional homogeneity after milling. Heat treatment of the as-milled powder at 900 °C was carried out to investigate its phase stability. Both the as-milled and the milled + heat-treated powders crystallized only in FCC + BCC phases that confirmed the phase stability of the alloy powder at high temperature. The lattice parameters of the corresponding FCC and BCC phases of the milled + heat-treated powder were determined as 3.58 Å and 2.86 Å, respectively. Heat treatment increased the fraction of the BCC phase in the alloy powder by reducing that of the FCC phase in large amounts. Thermal analysis of the milled powder revealed that the transformation of the FCC phase to BCC commenced between 721 and 735 °C. The alloy powder can be beneficial for high-temperature structural and coating applications due to the yielding of large amount of strong BCC phase at high temperature.