An optical structure with refractive index change (Δn) is written out inside polymethyl methacrylate (PMMA) by a femtosecond laser with laser direct writing technique, and the volume gratings are fabricated. One group of volume gratings is kept at room temperature, and the other group is annealed. By the experimental comparison between the two groups, the effect mechanism of annealing on Δn is explored. The experimental results show that, there exists no obvious difference in feature size of optical structure caused by annealing, and the intensity of Raman peak at 1640 cm-1 is increased as a consequence of annealing, which corresponds to the increase of Δn. Meanwhile, optical structures with refractive index change inside PMMA induced by femtosecond lasers are not stable. The Δn value increases slowly with the increase of time, and annealing treatment can accelerate this increase.