In the ferromagnetic insulator with Dzyaloshinskii-Moriya interaction, we theoretically predict and numerically verify a topological magnon insulator, where the charge-free magnon is topologically protected to transport along the edge while it is insulating in the bulk. Within the bulk band gaps, edge states form a connected loop as a $4π$- or $8π$-period Möbius strip in the wave vector space. As a consequence, the chiral energy current traveling along the corresponding edge is topologically protected from defects or disorders. Using the nonequilibrium Green's function method, we demonstrate that the energy current carried by magnons with energy in the bulk gap localizes at edges and prefers to travel along one edge in only one direction at nonequilibrium steady state. Our prediction about topological magnon insulator could be observed at a wide energy range in the thin film of the insulating ferromagnet, such as Lu$_2$V$_2$O$_7$.

9 pages, 10 figures