The invention relates to a process for manufacturing nanoparticles that are self-dispersing in water. It also relates to the self-dispersing nanoparticles obtained by the process of the invention and also a process for manufacturing a heat-transfer fluid containing the nanoparticles according to the invention or obtained by the process of the invention. The process of the invention comprises the following steps: a) optionally, manufacture of an aqueous dispersion of nanoparticles chosen from the nanoparticles of alumina (Al2O3), of zinc oxide (ZnO), of titanium oxide (TiO2), of silica (SiO2) and of beryllium oxide (BeO), b) addition to an aqueous dispersion of nanoparticles chosen from nanoparticles of alumina (Al2O3), of zinc oxide (ZnO), of titanium oxide (TiO2), of silica (SiO2) and of beryllium oxide (BeO), of a water-soluble polymer chosen from polyvinyl alcohols, polyethylene glycols, polyvinylpyrrolidones, polyoxazolines, starches, and mixtures of two or more thereof, and c) thermal quenching of the dispersion obtained in step b), and d) lyophilization of the quenched dispersion obtained in step c). The invention finds an application in the field of coolants in particular.