if you use porous substrate, than, how can you measure the thickness of your thin film? That the reason why they alway prepare porous thin film on dense substrate or highly dispersive active phase over porous support.

It's my opinion :) 

Thanks for your comment, I do know it is tricky to prepare such thin film on porous substrate. 

Le

Yo can use Cerium Chloride /Cerium isopropoxide and Potassium hydroxide in non stoichiometric ratios.Thin film mesoporous can be obtained. Even Mesoporous powdered obtained  after 600 degree Centigrade  .

You can use anodization method

I never read anything about that, but maybe freeze casting and sintering is the way to go.You should go through the literature and check. For sure it has already been done for other oxides

You can block the pores in the substarte with polymeric materials which can be decomposed and do the process for highly ordered mesoporous ceria thin films.