We show that a single pulse burst fabrication will produce a flatter and smoother profile of axicons milled on sapphire compared to a pulse overlapped fabrication which will result in a damaged and a much rougher surface. The fabrication of large area (sub-1 cm cross-section) micro-optical components in a short period of time (~ 10 min) and with lesser number of processing steps is highly desirable and cost-effective. Our results were achieved with femtosecond laser fabrication technology which has revolutionized the field of manufacturing axicons. This study shows the manufacture of three configurations such as the conventional axicon, a photon sieve axicon (PSA) and a sparse PSA directly milled onto a sapphire substrate. Debris was removed using IsoPropyl alcohol and potassium hydroxide and amorphous sapphire was redeposited under incoherent illumination to test the components for optical viability. A non-linear optical filter was used for cleaning noisy images which were generated by diffractive optical elements.