A macroporous carbon aerogel (MCA) was produced by in situ synthesis of multi-walled carbon nanotubes (CNTs) via catalytic high-temperature decomposition of ethylene over the supported Fe:Co catalyst. A three-dimensional framework of ball-shaped MCA granules was formed by chaotic interlacing of growing CNTs and mechanical strength of the granules was high enough for their promising application in heterogeneous processes, in particular, bioconversion of fatty acids. The macroporous carbon aerogel was investigated as a novel support for adsorptive immobilization of an enzyme—Thermomyces lanuginosus lipase, followed by preparation of the lipase-active heterogeneous biocatalysts. It was found that the efficient and tight adsorption of the lipase on MCA occurred due to hydrophobic interactions. The amount of the lipase adsorbed in one dense adsorptive layer was equal to 110 mg per 1 g of the carbon aerogel. The lipase adsorbed in the 1st adsorptive layer possessed the maximum activity, 700–800 U/mg. The lipase-active heterogeneous biocatalysts were studied in the periodic processes of hydrolysis of emulsified triglycerides (tributyrin), interesterification of vegetable oil with ethyl acetate, and esterification of fatty acids (butyric C4:0, capric C10:0, and stearic C18:0) with isopentanol. It was found that T. lanuginosus lipase lost significantly its enzymatic activity during adsorption on the carbon aerogel; possible causes of the negative effect of such immobilization were discussed. The specific activity of the adsorbed lipase, as well as activity and stability of the biocatalysts depended foremost on the type of the reaction performed. The maximum activities of the biocatalysts were determined to be approximately 75·103 and 2.5 U/g in tributyrin hydrolysis (aqueous media) and esterification of fatty acid (non-aqueous media), respectively. Stability of the biocatalysts was very high in the esterification reaction due to accumulation of essential water inside MCA. The lipase-active biocatalysts carried out the synthesis of isopentyl caprinate in organic solvents (hexane + diethyl ether) for several 100 h at 40 °C.