Few-shot language learners adapt knowledge from a pre-trained model to recognize novel classes from a few-labeled sentences. In such settings, fine-tuning a pre-trained language model can cause severe over-fitting. In this paper, we propose an Embedding Hallucination (EmbedHalluc) method, which generates auxiliary embedding-label pairs to expand the finetuning dataset. The hallucinator is trained by playing an adversarial game with the discriminator, such that the hallucinated embedding is indiscriminative to the real ones in the finetuning dataset. By training with the extended dataset, the language learner effectively learns from the diverse hallucinated embeddings to overcome the over-fitting issue. Experiments demonstrate that our proposed method is effective in a wide range of language tasks, outperforming current fine-tuning methods. Further, we show that EmbedHalluc outperforms other methods that address this over-fitting problem, such as common data augmentation, semi-supervised pseudo-labeling, and regularization. The code will be made available at: https://github.com/yiren-jian/EmbedHalluc.