Lattice anharmonicity is thought to strongly affect vacancy concentrations in metals at high temperatures. It is however nontrivial to account for this effect directly using density functional theory (DFT). Here we develop a deep neural network potential for aluminum that overcomes the limitations inherent to DFT, and we use it to obtain accurate anharmonic vacancy formation free energies as a function of temperature. While confirming the important role of anharmonicity at high temperatures, the calculation unveils a markedly nonlinear behavior of the vacancy formation entropy and shows that the vacancy formation free energy only violates Arrhenius law at temperatures above 600 K, in contrast with previous DFT calculations.