Galactic Dark Matter (DM) annihilations can produce cosmic-ray anti-nuclei via the nuclear coalescence of the anti-protons and anti-neutrons originated directly from the annihilation process. Since anti-deuterons have been shown to offer a distinctive DM signal, with potentially good prospects for detection in large portions of the DM-particle parameter space, we explore here the production of heavier anti-nuclei, specifically antihelium. Even more than for anti-deuterons, the DM-produced anti-He flux can be mostly prominent over the astrophysical anti-He background at low kinetic energies, typically below 3-5 GeV/n. However, the larger number of anti-nucleons involved in the formation process makes the anti-He flux extremely small. We therefore explore, for a few DM benchmark cases, whether the yield is sufficient to allow for anti-He detection in currentgeneration experiments, such as Ams-02. We account for the uncertainties due to the propagation in the Galaxy and to the uncertain details of the coalescence process, and we consider the constraints already imposed by anti-proton searches. We find that only for very optimistic configurations might it be possible to achieve detection with current generation detectors. We estimate that, in more realistic configurations, an increase in experimental sensitivity at low kinetic energies of about a factor of 500-1000 would allow to start probing DM through the rare cosmic anti-He production.