A class of exact rotating black hole solutions of gravity nonminimally coupled to a self-interacting scalar field in arbitrary dimensions is presented. These spacetimes are asymptotically locally anti-de Sitter manifolds and have a Ricci-flat event horizon hiding a curvature singularity at the origin. The scalar field is real and regular everywhere and its effective mass, coming from the nonminimal coupling with the scalar curvature, saturates the Breitenlohner-Freedman bound for the corresponding spacetime dimension. The rotating black hole is obtained by applying an improper coordinate transformation to the static one. Although both spacetimes are locally equivalent, they are globally different, as it is confirmed by the nonvanishing angular momentum of the rotating black hole. It is found that the mass is bounded from below by the angular momentum in agreement with the existence of an event horizon. The thermodynamical analysis is carried out in the grand canonical ensemble. The first law is satisfied and a Smarr formula is exhibited. The thermodynamical local stability of the rotating hairy black holes is established from their Gibbs free energy. However, the global stability analysis establishes that the vacuum spacetime is always preferred over the hairy black hole. Thus, the hairy black hole is likely to decay into the vacuum one for any temperature.