In order to satisfy the requirement of high throughput in most UAV applications, the potential of integrating millimeter wave (mmWave) communications with UAV networks is explored in this paper. A tractable three-dimensional (3D) spatial model is proposed for evaluating the average downlink performance of UAV networks at mmWave bands, where the locations of UAVs and users are randomly distributed with the aid of a Poisson cluster process. Moreover, an actual 3D antenna model with the uniform planar array is deployed at all UAVs to examine the impact of both azimuth and elevation angles. Based on this framework and two typical user selection schemes, closed-form approximation equations of the evaluated coverage probability and area spectral efficiency (ASE) are derived. In a noise-limited scenario, an exact expression is provided, which theoretically demonstrates that a large scale of antenna elements is able to enhance the coverage performance. Regarding the altitude of UAVs, there exists at least one optimal height for maximizing the coverage probability. Numerical results verify the proposed insight that non-line-of-sight transmission caused by obstacles have negligible effects on the proposed system. Another interesting result is that the ASE can be maximized by optimizing both the targeted data rate and the density of UAVs.