Achieving excellent electromagnetic-wave absorption (EMA) performances and outstanding multifunctional physicochemical properties in complicated application environments is a great challenge for high-entropy alloys (HEAs) absorber. To accomplish this goal, a novel mechanochemical carbonitriding technique is designed. Carbonitriding FeCoNiCu HEAs with flake-like morphology is successfully prepared by a mechanochemical method using the cyano-compound (melamine, C3H6N6) and metal powders as raw materials. Through the investigation of phase structure, magnetic properties, corrosion resistance, oxidation resistance and EMA performances of the samples, it can be found that the carbonitriding process optimizes the high-frequency electromagnetic matching of HEAs, and realizes excellent EMA performances. With the introduction of melamine, S003 (FeCoNiCuM0.03) sample has a reflection loss of −55.8 dB with an effective absorption bandwidth (EAB) of 3.82 GHz, and S006 (FeCoNiCuM0.06) sample achieves a strong absorption of −61.8 dB. In addition, the carbonitriding FeCoNiCu HEAs exhibit excellent corrosion resistance and mechanical hardness. This work not only demonstrates the potential of carbonitriding HEAs for EMA applications, but also provides a new concept for optimizing the electromagnetic impedance matching of HEAs.