In this work, cobalt ferrite nanocrystallites were synthesized by air annealing of milled Co-Fe compound. Effect of annealing temperature on phase formation of cobalt ferrite and structural and magnetic properties of the product was studied. Analysis of annealed sample in 450 oC showed that around 46 weight percent of the specimen was changed to Co2FeO4. This value increased to 95 and 90% for 800 oC and 900 oC annealed samples respectively. Reduction of saturation magnetization under annealing was related to transformation of Co-Fe to cobalt ferrite. Increasing the value of saturation magnetization in 900 oC annealed sample compared to 800 oC one was attributed to decreased surface to volume ratio and crystallite size. The main reason of occurrence of maximum coercivity in 800 oC annealed sample was its low crystallite size.