We study nonlinear optical response of Landau quantized graphene to an intense electromagnetic wave. In particular, we consider high harmonic generation process. It is shown that one can achieve efficient generation of high harmonics with strong radiation fields -- when the work of the wave electric field on the magnetic length is larger than pump photon energy. At that high harmonics generation process takes place for a wide range of the pump wave frequencies and intensities even for significant broadening of Landau levels because of impurities in graphene.