The photoluminescence (PL) from GaN quantum dots (QDs) embedded in AlN has been investigated under hydrostatic pressure. The measured pressure coefficient of emitted light energy [dE(E)/dP] shows a negative value, in contrast with the positive pressure coefficient of the GaN band gap. We also observed that increasing pressure leads to a significant decrease of the light emission intensity and an asymmetric broadening of the PL band. All these effects are related to the pressure-induced increase of the built-in electric field. A comparison is made between experimental results and the proposed theoretical model which describes the pressure behavior of nitride QDs.