Shape memory alloys are one of the most important families of functional materials due to superelasticity and shape memory properties. In particular Cu‐Al‐Ni alloys exhibit these properties at nanoscale, becoming potentially useful to design new smart MEMS. In this work, an anomalous behavior observed during nano‐compression superelastic tests on Cu‐Al‐Ni shape memory alloy micro pillars is reported. The study is approached by nano‐compression tests on micro and nano pillars milled by focused ion beam. The anomalous behavior on the superelastic effect is manifested by a sudden stabilization of the stress‐induced martensite, which does not undergo the reverse transformation. A transition, from superelastic to pseudoelastic‐twinning behavior, takes place during the nano‐compression tests, and is evaluated through the load‐depth curves and quantified by the mechanical damping coefficient η, which undergoes a sharp change from ultra‐high damping, η > 0.1, down to η ≈ 0.01. The stabilization of the martensite occurs under two different experimental conditions, along cycling and by applying a very high stress during superelastic tests. In both cases, a further recovery of the initial superelastic behavior is registered. The mechanisms responsible for the observed stabilization and recovery are discussed, together with the implications and further requirements for technological applications in MEMS.