Ultraviolet (UV) anti-Stokes photoluminescence (ASPL) was observed in ZnO single crystals at low temperature. The ASPL spectrum was essentially the same as the normal photoluminescence (PL) spectrum under excitation in the band to band transition. By analogy to the ASPL of GaN, a two-step two-photon absorption process is suggested to occur in ZnO. The ratio of re-excited electrons in the intermediate state is, however, smaller than that for GaN from the excitation intensity dependence of the ASPL. This difference is probably due to the carrier lifetime of the intermediate state for ZnO being shorter than that for GaN.