A process for producing a continuous alumina fiber blanket by heat treating an alumina fiber precursor formed from a spinning solution containing an aluminum compound, by using a specific high-temperature furnace capable of high-temperature heat treatment. According to this process, a continuous sheet (W) of alumina fiber precursor formed from a spinning solution containing an aluminum compound is supplied continuously into a high-temperature furnace and subjected to heat treatment while being conveyed in one direction by plural conveying mechanisms (2, 3) disposed in said high-temperature furnace. In this operation, the speed of said conveying mechanisms is reduced progressively in the direction of conveyance in correspondence to the rate of heat shrinkage of the continuous sheet (W) of alumina fiber precursor, thereby to lessen fiber crush in the alumina fiber precursor and obtain a continuous alumina fiber blanket with uniform thickness and high bulk density as well as high strength.