A method for constructing a porous micro-nano structure, includes: thoroughly mixing glass powders and metal powders to obtain a mixture; coating the mixture on a surface of a substrate, and forming a coating on the surface, wherein a temperature of forming the coating and a melting point of the glass powders comply with the following formula: Tforming≥Tglass−50° C.; and constructing a surface structure of the coating to obtain a porous micro-nano structure coating on the surface, such that a material with a porous micro-nano structure is obtained. The method is simple and has a low cost. The porous micro-nano structure coating prepared has excellent mechanical stability.