Computational prediction of compound-protein interactions (CPIs) is of great importance for drug design as the first step in in-silico screening. We previously proposed chemical genomics-based virtual screening (CGBVS), which predicts CPIs by using a support vector machine (SVM). However, the CGBVS has problems when training using more than a million datasets of CPIs since SVMs require an exponential increase in the calculation time and computer memory. To solve this problem, we propose the CGBVS-DNN, in which we use deep neural networks, a kind of deep learning technique, instead of the SVM. Deep learning does not require learning all input data at once because the network can be trained with small mini-batches. Experimental results show that the CGBVS-DNN outperformed the original CGBVS with a quarter million CPIs. Results of cross-validation show that the accuracy of the CGBVS-DNN reaches up to 98.2 % (σ<0.01) with 4 million CPIs.