We report the generation of Bessel beams using polytetrafluoroethene conical lenses and a quantum cascade laser emitting at 2.8 THz. The formation of a central beam spot that retains its size over distances exceeding the characteristic Rayleigh range is demonstrated, and the power transport properties of these beams are compared with those obtained using parabolic reflectors. These lenses could provide an attractive alternative to parabolic reflectors for terahertz imaging applications where a large depth of focus and/or efficient and controllable coupling of radiation onto a small target are desirable.