The anisotropy of the magnetic incommensurate fluctuations in Sr2RuO4 has been studied by inelastic neutron scattering with polarized neutrons. We find a sizable enhancement of the out-of-plane component by a factor of 2 for intermediate energy transfer, which appears to decrease for higher energies. Our results qualitatively confirm calculations of the spin-orbit coupling, but the experimental anisotropy and its energy dependence are weaker than predicted.