Certain example embodiments relate to the combustion deposition depositing of coatings comprising metal oxide matrices loaded with hollow metal oxide particles. The hollow metal oxide particles may be produced by combusting an emulsion including an aqueous phase and an oil phase, and an optional surfactant. The aqueous and/or oil phase may include a first metal oxide precursor. A second metal oxide precursor may be combusted in addition to the emulsion to produce a dense binder layer, acting as a “glue” to hold the hollow particles together. The matrix and the hollow particles comprising the coating may be of or include the same metal or a different metal. In certain example embodiments, the microstructure of the final deposited coating may resemble the microstructure of coatings produced by wet chemical (e.g., sol gel) techniques.