The model of random interlacements is a one-parameter family $\mathcal I^u,$ $u \ge 0,$ of random subsets of $\mathbb{Z}^d,$ which locally describes the trace of simple random walk on a $d$-dimensional torus run up to time $u$ times its volume. Its complement, the so-called vacant set $\mathcal V^u$, has been shown to undergo a non-trivial percolation phase-transition in $u;$ i.e., there exists $u_*(d) \in (0, \infty)$ such that for $u \in [0, u_*(d))$ the vacant set $\mathcal V^u$ contains a unique infinite connected component $\mathcal V_\infty^u,$ while for $u > u_*(d)$ it consists of finite connected components. Sznitman \cite{SZ11,SZ11B} showed that $u_*(d) \sim \log d,$ and in this article we show the existence of $u(d) > 0$ with $\frac{u(d)}{u_*(d)} \to 1$ as $d \to \infty$ such that $\mathcal V_\infty^{u}$ is transient for all $u \in [0, u(d)).$