It is challenging to store the exponentially increasing amount of data in the information age. The multiplexed optical data storage with merits of high data density (hundreds of terabytes/disk), low energy consumption, and long lifetime could open a new era in data storage technology. The recent progress in five-dimensional (5D) optical data storage based on anisotropic nanostructures written by femtosecond (fs) laser pulses in transparent materials reveals its potential for real-world applications, but high writing speed and density remain a major challenge. Here, we propose a method for rapid and energy-efficient writing of highly localized anisotropic nanostructures in silica glass by energy modulated megahertz-rate fs pulses. An isotropic nanovoid is initially generated with pulse energy above the microexplosion threshold and then elongated to an anisotropic nanolamella-like structure via the near-field enhancement effect by lower energy pulses, minimizing the unwanted thermal effects from megahertz-rate fs pulses. The anisotropic nanostructures are exploited for 5D data storage with a rate of 106voxels/s, corresponding to a demonstrated fast information recording of ∼225kB/s and a potentially high-density data storage of ∼500TB/disk.