We present a newly designed highly sensitive micromechanical sensor devoted to thermodynamic studies involving supported clusters. The thermally sensitive element of the sensor consists of a micromachined silicon cantilever array, onto which a thin metal film is evaporated. Due to the difference between the thermal expansion coefficients of silicon and the metal employed, thermal bending is observed when heat is exchanged with the cantilever. The sensitivity and the response time of the cantilever are studied as a function of the film material (gold or aluminum) and the thickness of the metal film. With our routinely prepared cantilevers, a minimum power of 120 nW is measurable with a submillisecond response time, corresponding to a limit of detection in the femtojoule range. The high sensitivity of the sensor is demonstrated by measuring the heat exchange which occurs during the deposition of clusters on the cantilever. Experimentally, we illustrate the 1,3-butadiene hydrogenation reaction using a cluster model catalysts created by soft-landing palladium clusters onto the cantilever surface.