If you are looking for a hollow solid, this is not something that Rhino will create using the boolean operations, as Rhino is a surface modeler, not a solid modeler. A volume completely encompassing another will just be two volumes. You can force Rhino into creating a hollow solid, though.
Start by revolveing your curves, so that you have two solids, one larger than the other. Now run
NonManifoldMerge on the two - the result a solid that consists of both surfaces, but is still solid. Now run
CreateRegions on this geometry, and you will have a copy of the outer surface, a copy of the inner surface and a hollow polysurface - which I guess is what you are looking for. Beware that this kind of volume will potentially give you some really weird problems down the road, so unless you have a specific need, best to avoid it.
Edit: Use Clippingplane to check the resulting geometry