Given a finite point set $P$ in ${\mathbb R}^d$, and $ε>0$ we say that $N\subseteq{ \mathbb R}^d$ is a weak $ε$-net if it pierces every convex set $K$ with $|K\cap P|\geq ε|P|$. We show that for any finite point set in dimension $d\geq 3$, and any $ε>0$, one can construct a weak $ε$-net whose cardinality is $\displaystyle O^*\left(\frac{1}{ε^{2.558}}\right)$ in dimension $d=3$, and $\displaystyle o\left(\frac{1}{ε^{d-1/2}}\right)$ in all dimensions $d\geq 4$. To be precise, our weak $ε$-net has cardinality $\displaystyle O\left(\frac{1}{ε^{α_d+γ}}\right)$ for any $γ>0$, with $$ α_d= \left\{ \begin{array}{l} 2.558 & \text{if} \ d=3 \\3.48 & \text{if} \ d=4 \\\left(d+\sqrt{d^2-2d}\right)/2 & \text{if} \ d\geq 5. \end{array}\right\} $$ This is the first significant improvement of the bound of $\displaystyle \tilde{O}\left(\frac{1}{ε^d}\right)$ that was obtained in 1993 by Chazelle, Edelsbrunner, Grigni, Guibas, Sharir, and Welzl for general point sets in dimension $d\geq 3$.