In this paper we present a local result on the existence of insensitizing controls for a semilinear heat equation when nonlinear boundary conditions of the form partial derivative(n)y + f(y) = 0 are considered. The problem leads to an analysis of a special type of nonlinear null controllability problem. A sharp study of the linear case and a later application of an appropriate fixed point argument constitute the scheme of the proof of the main result. The boundary conditions we are dealing with lead us to seek a fixed point, and thus also control functions, in certain Holder spaces. The main strategy in this paper is the construction of controls with Holderian regularity starting from L-2-controls in the linear case. Sufficient regularity in the data and appropriate assumptions on the right-hand side term xi of the equation are required.