A heat dissipation retaining structure for a heat production device, an installation method thereof, and a wind turbine generator set. The heat dissipation retaining structure includes a retaining structure body for defining a middle space, and a thermal radiation absorption coating, a heat insulating material, or an infrared low-emissivity and high-reflectivity material is at least partially applied to an inner wall of the retaining structure body. The air temperature of the environment in the retaining structure is actively decreased by the foregoing structure under the conditions that noise is avoided, environmental friendliness is achieved, external power is omitted, and energy consumption is zero, thereby decreasing the temperature of the heat production device, and ensuring that the heat production device works at the allowable normal temperature for a long time.