Bone drilling has been widely used in medical surgeries such as repair and fixation in orthopedics. Traditional drilling method using drill-bits inevitably causes significant thermal and mechanical trauma in the adjacent bone tissues. This paper demonstrates the feasibility of femtosecond laser drilling in vitro large-size holes on the sheepshank bone with high efficiency and minimal collateral damage. A Yb:KGW femtosecond laser was utilized to drill millimeter-scale holes on the bone under different cooling conditions including gas- and water-assisted processes. Scanning electron microscopy, confocal laser scanning microscopy and infrared thermographic imaging system were used to investigate the residual debris, removal rate, bone temperature variation and hole morphology. Histological examination, Fourier transform infrared spectroscopy and Raman spectroscopy were employed to study thermal damage. Results show that a 4 mm hole with smooth and clean surface was successfully drilled on the bone, and the highest removal rate of 0.99 mm3/s was achieved, which was twenty times higher than the previous study of 0.05 mm3/s. Moreover, bone and bone marrow were distinguished by real-time monitoring system during laser drilling. This work demonstrates the potential for clinical applications using an ultrafast laser to produce crack-free large-size bone holes.