A heat transfer fluid with carbon nanocapsules. The heat transfer fluid comprises a fluid and a plurality of carbon nanocapsules, uniformly dispersed in the fluid, in an amount of 0.05 to 10 parts by weight, based on 100 parts by weight of the heat transfer fluid. Particularly, the carbon nanocapsules are modified to bond with at least one kind of functional group, improving dispersiblity in the fluid. Thus, since the carbon nanocapsules are apt to disperse in fluid and have superior thermal conductivity, the heat conduction capability of the heat transfer fluid therewith is enhanced.