The size effect on mechanical properties of glassy polyethylene (PE) nanoscale particles has been investigated by extensive coarse-grained molecular dynamics simulations. The diameter of the PE particles varies in the range of 5-40 nm, we confirm that the particle's behaviour under compressive stress strongly depends on its size-the smaller the particle diameter is, the stiffer the particle behaves. The present mechanical responses of compressed particles are in good agreement with our previous experimental phenomena of micron-sized polymer particles measured by a nanoindentation-based flat punch method. Possible reasons for the size effect are discussed.