Abstract: Coal cinder is an abundant byproduct of the extensive consumption of coal in industrial production and daily life. Making full use of the cinder is conducive to a low-carbon economy. In this study, inspired by the burning of coal, a new method for constructing a silica-based composite porous material (SiO₂-CPM) was developed by combusting a siloxane-modified anthracite coal gel (CSiO₂ gel). During this process, the combustion product was directly converted into a porous material, and the calorific value of the coal remained nearly unchanged (~98% of the original calorific value was retained), demonstrating the viability of this method for energy-efficient applications. The SiO₂-CPM exhibited an ultra-low thermal conductivity (0.036 W/(m·K) at room temperature), outperforming conventional insulation materials (e.g., cotton ~0.05 W/(m·K)). Additionally, it showed enhanced mechanical strength (fracture stress of 41.8 kPa) compared to the powder state of the coal cinder. Experimental results indicate that the amount of siloxane, structure-directing agent, and an acidic environment were critical for mechanical enhancement. The SiO₂-CPM showed good dimensional stability against thermal expansion and exhibited excellent thermal insulation and fire resistance even at 900°C. Meanwhile, the SiO₂-CPM with complex geometry could be easily fabricated using this method owing to the excellent shaping ability of the CSiO₂ gel. Compared to conventional methods such as sol–gel synthesis or freeze-drying, this approach for fabricating SiO₂-CPM is simpler and cost-effective and allows the direct utilization of coal cinder post-combustion.