Insect farming generates a new type of chitinous waste in the form of dead specimens that have died of natural causes and insect moults (puparia), particularly large amounts of which are generated during the rearing of holometabolous insects. Following the circular economy paradigm, we treated waste in the form of puparia and dead adults of H. illucens as a valuable material, i.e., as sources of chitin, and tested it as a sorbent for cerium, a lanthanide of great industrial importance. For comparison, non-treated, raw insect materials and commercial chitosans were also investigated. Chitin extracted from H. illucens showed an adsorption capacity at the same level as commercially available, marine-source chitin (approximately 6 mg Ce·g−1). However, more interestingly, raw materials exhibited much higher adsorption capacities—dead adults were similar to commercial chitosans (approximately 32 mg Ce·g−1), while puparia demonstrated twice the performance (approximately 60 mg Ce·g−1). This indicates that unprocessed waste can be used as environmentally friendly, cost-effective Ce biosorbents with comparable or even better sorption capacity than chitosans, whose production requires intense chemical processing.