We realized the bi-directional transmission of millimeter-wave (MMW) 4096-ary quadrature amplitude modulation (4096QAM) orthogonal frequency division multiplexing (OFDM) signal with frequencies of 83.5 GHz and 73.3 GHz at E-band over 2 m wireless distance with a net transmission rate of 91.46 Gbit/s. Meanwhile, we also achieved the transmission of the MMW 4096QAM OFDM signal at 117 GHz in D-band with a net transmission rate of 57.21 Gbit/s over 13.42 m wireless distance. With the help of probabilistic shaping (PS) technique and Volterra nonlinearity compensation (VNC) technology, both of the transmission systems can satisfy the 0.8 normalized generalized mutual information (NGMI) threshold with 25% soft-decision forward-error-correction (SD-FEC) overhead. In addition, the performances of different modulation formats are also be compared.