Chalcogenide glasses possess novel optical property in infrared range, which make them ideal candidates for photonic devices by laser direct writing. Precisely control of the refractive index manipulation in the material is the key to achieve high quality optical devices. In this work, diffraction gratings in chalcogenide As2Se3 thin films were fabricated with femtosecond laser direct writing and its refractive index change was carefully studied. Grating diffraction efficiency was measured from visible to near-infrared light by using multiple single-wavelength lasers and a supercontinuum laser. Clear diffraction patterns and high diffraction efficiency indicated the good optical quality of the prepared gratings. Results show that the grating with period of 5 µm inscribed under pulse energy of 30 nJ demonstrated a 1st-order diffraction efficiency of 30% at 808 nm testing wavelength, due to the changes of refractive index and absorption. The relationship of the change of refractive index and absorption coefficient of film under different laser irradiation intensity is carefully studied. The maximum refractive index change was estimated to be 0.087 at 808 nm.