We report a significant improvement in the room temperature cathodoluminescence efficiency of AlGaN quantum wells when the three-dimensional growth mode is induced by reduced flux of ammonia. We interpret this observation in terms of formation of quantum dots of AlGaN in Al0.45Ga0.55N wells. Reflection high electron diffraction images and detailed measurements of the cathodoluminescence intensity, linewidth, and wavelength as a function of growth conditions are consistent with the presence of quantum dots.