The plasmonic gold nanoparticles are promising candidates for photothermal therapy (PTT) application. The optical properties of various gold nanoparticles have been widely investigated for PTT application in the first near-infrared (NIR) window (650–950 nm). However, few studies have been reported on the nanoparticles employed in the second NIR window (1000–1350 nm) where light penetrates deeper through the tissue. Recently, a new type of plasmonic rod-in-shell (RIS) nanoparticle that can be optically responsive in the second NIR window has been reported (ACS Nano, 2013, 7, 5330). In this article, we employed an extensive numerical exploration of the optical absorption properties of the RIS particles by tuning their dimensional parameters including the core length, gap size and shell thickness. A number of favorable optical properties of the RIS nanoparticles potentially for the better PTT effect have been observed including: (1) the strong and highly tunable optical absorption in the second NIR window with a particle size less than 100 nm; (2) a larger absorption cross-section both in the first and second NIR windows over a nanorod with the same gold mass; and (3) orientation-insensitive light absorption by particles in the first NIR window due to the overlapping of the longitudinal and transverse modes. These unique optical properties imply that the RIS nanoparticles could become promising candidates for the PTT application in the first and second NIR windows.