Provided is a method of producing a denatured whey protein which has an improved heat stability without using an additive such as an organic solvent. Also provided is a denatured whey protein produced by this method. A method of producing a denatured whey protein which comprises contacting and mixing a whey protein solution with a whey protein solution that is flowing as a thin film in the form of a rotating cylinder, and thus shearing the same at a temperature ranging form 76 to 120°C at a shear speed of 5,000 s -1 to 25,000 s -1 for 8 minutes to 0.1 second and a denatured whey protein obtained by this method.