This work presents the design of a planoconcave parabolic negative index metamaterial lens operating at millimeter wavelengths fabricated by using stacked subwavelength hole arrays. A staircase approximation to the ideal parabola profile has been done by removing step by step one lattice in each dimension of the transversal section. Theory predicts power concentration at the focal point of the parabola when the refractive index equals -1. Both simulation and measurement results exhibit an excellent agreement and an asymmetrical focus has been observed. The possibility to design similar planoconcave devices in the terahertz and optical wavelengths could be a reality in the near future.