Recently, high entropy alloys (HEAs) have received lots of attention as a new metallic material due to their superior properties including relatively high strength and low thermal conductivity. Furthermore, metallic foams generally exhibit low thermal conductivity due to their air-filled pores. Thus, it is possible to understand that HEA foams may show ultra-low thermal conductivity by cocktail effect of each material, while maintaining the promising properties of HEAs such as high strength and so on. In the present study, we first report HEA foam which is fabricated by dealloying process, selective dissolution, through galvanic coupling in phase separating FeCoCrNi-Cu HEAs. In particular, we will systematically assess property correlation between thermal conductivity and yield strength depending on the porosity. Indeed, we develop novel HEA foam with ultra-low thermal conductivity and high strength, which might be successfully applied as a heat shield material in harsh environment.