The rheological response of a polyethylene/clay nanocomposite to annealing treatment under air and nitrogen atmospheres was studied. The treatment influences the rheology of the nanocomposite significantly. In particular, the viscosity and the non-Newtonian behavior dramatically increase with annealing time, and a liquid-like/solid-like transition is observed. The annealed samples were characterized by ATR-FT-IR spectrometry and it was shown that a silicate-rich layer is formed on the surface of the nanocomposite. This result was confirmed by TEM images of bulk and surface of annealed samples. It was demonstrated that the formation of this coating is the main cause of the change of rheological behavior.