In AgSbF6/Rh2(OAc)4/DCM system, two‐component reaction of 2‐diazo‐3,5‐dioxo‐6‐ynoates (sulfones) and two equivalent of aldehydes provided easy access to 2‐(1,3‐dioxolanes‐4‐yl)‐4H‐pyran‐4‐ones. This represents the first method for generating the novel heterocyclic compounds. A possible mechanism is proposed to explain this result. The most significant features of the tandem cyclization are simple procedure, mild conditions and high diastereoselectivity.