We report on the realisation of ultra‐small‐mode‐volume tunable dye lasers based on hemispherical open microcavities. The cavity mode volume is of the order of cubic micrometers, such that self‐diffusion of the dye molecules allows continuous wave operation over several minutes without the need for driven circulation. Such micro lasers could be integrated into lab‐on‐a‐chip devices. A rate‐equation model that incorporates the diffusion mechanism is used to predict the effect of the microcavity parameters on the lasing threshold.