Insulating substrates are crucial for electrical transport study and room temperature application of topological insulator films at thickness of only several nanometers. High quality quantum well films of Bi2Se3, a typical three-dimensional topological insulator, have been grown on alpha-Al2O3 (sapphire) (0001) by molecular beam epitaxy. The films exhibit well-defined quantum well states and surface states, suggesting the uniform thickness over macroscopic area. The Bi2Se3 thin films on sapphire (0001) provide a good system to study low-dimensional physics of topological insulators since conduction contribution from the substrate is negligibly small.