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Developing compact, high‐power sources in the terahertz (THz) gap (0.1–10 THz) remains a critical challenge in modern electronics, and nano‐plasma device (NPD) represents a promising pathway to close this gap. Here, we advance the fundamental understanding of NPDs by showing that an ultra‐dense (∼10 25 m −3 ) electron sheet, confined within ∼10 nm above the substrate surface, drives the picosecond nano‐plasma switching through secondary electron emission avalanche (SEEA) on the substrate surface. This mechanism was validated by analytical theories, particle‐in‐cell simulations, and THz experiments, showing that a minimum electric field of ∼10 8 V/m is required for SEEA initiation, which covers an ∼100 nm gap within ∼ 0.1 ps, switches the NPD on via ionization avalanche within ∼ 1 ps, and produces a 0.4 THz signal with 2 W power. The switching speed increases with higher pressure. Model‐guided device optimization identified the high‐secondary‐emission‐yield substrates that favor THz generation, and defined the optimum nanogap length range that ensures both discharge initiation and emission within the THz range. This work demonstrates NPD as a feasible and scalable design for watt‐level, on‐chip THz generation, and suggests possible future integration with triboelectric nanogenerators as well as potential implications for vacuum nanoelectronic platforms.