We report on the observation of the size effect of thermal magnetization in Au nanoparticles. The thermal deviation of the saturation magnetization departs substantially from that predicted by the Bloch T(3/2)-law, indicating the existence of magnetic anisotropic energy. The results may be understood using the uniaxial anisotropy Heisenberg model, in which the surface atoms give rise to polarized moments while the magnetic anisotropic energy decreases as the size of the Au nanoparticles is reduced. There is a significant maximum magnetic anisotropic energy found for the 6 nm Au nanoparticles, which is associated with the deviation of the lattice constant due to magnetocrystalline anisotropy.