Heat transfer in gases in the continuum regime follows Fourier’s law and is well understood. However, it has been long understood that in the subcontinuum, rarefied gas regime Fourier’s law is no longer valid and various models have been proposed to describe heat transfer in these systems. These models have very limited experimental exploration for spherical geometries due to the difficulties involved. Optically levitated nanoparticles are presented as the ideal experimental system to study heat transfer in rarefied gases due to their isolation from their environment. Nanodiamonds with nitrogen-vacancy centers are used to measure temperature. As the pressure decreases so does the heat transfer to the rarefied gas and the nanodiamond temperature increases by over 200 K. These experiments demonstrate the utility of optically levitated nanoparticles to study heat transfer in any gas across a wide range of pressures. In the future, these measurements can be combined with models to empirically determine the energy accommodation coefficient of any gas.