A novel chemiluminescence immunosensor using horseradish peroxidase (HRP)-functionalized mesoporous silica nanoparticles (MSN) as labels was developed, which increases the sensitivity of the chemiluminescence immunoassay. The enzyme-functionalized MSN were fabricated by simultaneous coimmobilization of HRP and the carcinoembryonic antigen antibody (anti-CEA) onto the surface of MSN using 3-aminopropyltriethoxysilane (APTES) as the linkage. Because the large surface area of MSN carriers increased the amount of HRP bound per sandwiched immunoreaction, the conjugates provided a much higher signal and increased sensitivity. This is an improvement over the traditional sandwich immunoassay which often has one or two enzyme molecules per antibody. This approach was successfully demonstrated as a simple, cost-effective, specific, and potent method to detect CEA in practical samples. The analysis showed a linear response within the range of 0.1–40 ng/mL ( r = 0.9912). The relative standard deviation (RSD) for 11 parallel measurements of 20 ng/mL CEA was 3.9%. The sensitivity of the immunosensor using MSN–HRP–Ab2 as labels was about 10-fold higher than that of traditional labels. These labels for immunosensors may provide many potential applications for detection of different biomolecules.