The results of the investigation of the optical properties and calculations of the density of states N(E) of the Heusler alloys Co2Cr1–xFexAl (x = 0, 0.4, 0.6, 1.0) have been presented. It has been found that the band spectrum substantially changes, especially in the vicinity of the Fermi level, due to the concentration transition from Co2FeAl to Co2CrAl. These changes are accompanied by significant changes in the optical properties. The optical properties of the Co2FeAl alloy are typical of metals. The anomalous behavior of the optical properties of the alloys with x = 0, 0.4, and 0.6 is determined by the electronic states at the Fermi level.