Self-propelled nanofluids (SPNFs), are suspensions that contain active particles, that self-propel by converting some form of energy to mechanical work. This theoretical investigation considers the heat transfer mechanisms that may exist in an SPNF. Equations describing the effective mass diffusivity of spherical and rod-shaped particles were taken from the literature and used in analysis of particles of different shapes, aspect ratios, swimming velocities and suspended in water and in ethylene glycol. The analysis showed that the effective mass diffusivity of the particles was up to three orders of magnitude higher than the thermal diffusivity of the solvent. The enhancement of the mass diffusivity leads to a significant enhancement of thermal conductivity of up to an order of magnitude higher compared to that of the pure solvent. It is further discussed that in SPNFs, dispersion and clustering of particles and active turbulence mechanisms may add extra enhancement to the thermal transport. Recent experimental investigations supporting our findings are discussed. Combining this enhancement in thermal transport with the reported reduction of the viscosity observed for an SPNF consisting of Artificial Bacterial Flagella (ABF) particles, will help to create a highly efficient coolant. This can help to reduce energy consumption in a wide variety of the economic sectors, especially in the computing and data storage.