Recent X-ray observations by the space mission Chandra confirmed the astonishing evidence for a diffuse, hot, thermal plasma at a temperature of 9. $10^7$ K (8 keV) found by previous surveys to extend over a few hundred parsecs in the Galactic Centre region. This plasma coexists with the usual components of the interstellar medium such as cold molecular clouds and a soft (~0.8 keV) component produced by supernova remnants, and its origin remains uncertain. First, simple calculations using a mean sound speed for a hydrogen-dominated plasma have suggested that it should not be gravitationally bound, and thus requires a huge energy source to heat it in less than the escape time. Second, an astrophysical mechanism must be found to generate such a high temperature. No known source has been identified to fulfill both requirements. Here we address the energetics problem and show that the hot component could actually be a gravitationally confined helium plasma. We illustrate the new prospects this opens by discussing the origin of this gas, and by suggesting possible heating mechanisms.