The self-assembly of cyclodextrins (CDs) with various guest polymers and small molecules has been intensively investigated for several decades, and it has still increasingly attracted wide attention to construct well-defined microstructures for the uses in biomedicine, sensors, environments, and nanorobotics. While most of the self-assembly of CDs involves the presence of guests, we recently discovered that α-CDs and γ-CDs could be self-assembled between themselves without the incorporation of any guests simply by elevating the temperature of their N,N -dimethylformamide (DMF) solution. In this work, we further found that α-CDs could self-assemble or reorganize in DMF into hexagonal rods simply by directly drying out the α-CD DMF solution. The α-CDs were self-assembled in the guest-free solution triggered by solvent evaporation. The X-ray powder diffraction results confirmed that they possessed a columnar structure, combined with the absence of guests in the strategy, and the cavities of CDs were not filled with guest molecules, but some water molecules may exist. The rods could be formed in various concentrations from 0.001 to 0.08 g/mL with drying temperatures ranging from 80 to 140 °C. The finding of this work shows the exceptional possibility of CDs to form well-defined microstructures without the engagement of guest molecules.