Ni-Mn-based Heusler alloys are an emerging class of materials which enable actuation by (magnetic) shape memory effects, magnetocaloric cooling, and thermomagnetic energy harvesting. Multifunctional materials have a particular advantage for miniaturization since their functionality is already built within the material. However, often complex microtechnological processing is required to bring these materials into shape. Here, self-organized formation of single crystalline membranes having arrays of rectangular holes with high aspect ratio is demonstrated. Dewetting avoids the need for complicated processing and allows to prepare freestanding Ni–Mn–Ga–Co membranes. These membranes are martensitic and magnetic, and their functional properties are not disturbed by self-patterning. Feature sizes of these membranes can be tailored by film thickness and heat treatment, and the tendencies can be explained with dewetting. As an outlook, the advantages of these multifunctional membranes for magnetocaloric and thermomagnetic microsystems are sketched.