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Full-duplex (FD) communication at millimeter-wave (mmWave) frequencies suffers from a strong self-interference (SI) signal, which can only be partially canceled using conventional RF cancelation techniques. This is because current digital SI cancellation techniques, designed for microwave frequencies, ignore the rapid phase noise (PN) variation at mmWave frequencies, which can lead to large estimation errors. In this work, we consider a multiple-input multiple-output mmWave FD communication system. We propose an extended Kalman filter-based estimation algorithm to track the rapid variation of PN at mmWave frequencies. We derive a lower bound for the estimation error of PN at mmWave and numerically show that the mean square error performance of the proposed estimator approaches the lower bound. We also simulate the bit error rate performance of the proposed system and show the effectiveness of a digital canceler, which uses the proposed estimator to estimate the SI channel. The results show that for a 2×2 FD system with 64−QAM modulation and PN variance of 10−4, the residual SI power can be reduced to − 25 dB and − 40 dB, respectively, for signal-to-interference ratio of 0 and 15 dB.