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In this letter, volume Fresnel zone plates fabricated inside fused silica using femtosecond laser direct writing are demonstrated. A volume zone plate consists of a number of layers of Fresnel zone plates designed to focus light together. Results indicate that volume Fresnel zone plates increase the overall diffraction efficiency significantly. Phase zone plates yield considerably higher diffraction efficiency due to a number of reasons including negligible light absorption, robustness against fabrication phase errors, and minimum interference between different zone plates in a volume.