Here we report on the effect of post‐growth thermal annealing at 200‐440 °C on the photoluminescence (PL) characteristics of CdSe/ZnSe quantum dot (QD) and CdZnSe/ZnSe quantum well (QW) heterostructures grown by molecular beam epitaxy. After heat treatment at temperatures lower than 270 °C, the PL intensity from both type of structures increases, while at temperatures above 270‐340 °C it decreases. A blue shift of the excitonic band position caused by Cd out‐diffusion from the QDs (QWs) is observed above 320‐340 °C and is five times larger for the QD‐related PL band than for the QW one. It is found that the energy of the excitonic transitions in the wetting layers does not change upon annealing. Lower thermal stability of the QDs as compared to that of the wetting layer and of the QW is explained by lateral Cd/Zn interdiffusion in the wetting layers via column II vacancies (© 2012 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)