In this letter we report the different response to temperature displayed by isotropic femtosecond written structures ͑type I_fs͒, and anisotropic ones ͑type II_fs͒, which are characterized by the presence of a self-assembled subwavelength periodic structure within the irradiated volume. We observe that the anisotropic structures display an extraordinary annealing behavior, namely, their photoinduced change in refractive index increases with the annealing temperature. We explain our experimental results with a theoretical model.