As large language models (LLMs) are widely applied across various fields, model compression has become increasingly crucial for reducing costs and improving inference efficiency. Post-training pruning is a promising method that does not require resource-intensive iterative training and only needs a small amount of calibration data to assess the importance of parameters. Recent research has enhanced post-training pruning from different aspects but few of them systematically explore the effects of calibration data, and it is unclear if there exist better calibration data construction strategies. We fill this blank and surprisingly observe that calibration data is also crucial to post-training pruning, especially for high sparsity. Through controlled experiments on important influence factors of calibration data, including the pruning settings, the amount of data, and its similarity with pre-training data, we observe that a small size of data is adequate, and more similar data to its pre-training stage can yield better performance. As pre-training data is usually inaccessible for advanced LLMs, we further provide a self-generating calibration data synthesis strategy to construct feasible calibration data. Experimental results on recent strong open-source LLMs (e.g., DCLM, and LLaMA-3) show that the proposed strategy can enhance the performance of strong pruning methods (e.g., Wanda, DSnoT, OWL) by a large margin (up to $2.68\%$). Code is available at https://github.com/Dereck0602/calibration_data.