The nonlinear index of refraction (n_{2}) and the two-photon absorption coefficient (β) of water-based ferrofluids made of magnetite nanocrystals of different sizes and with different coatings have been measured through the Z-scan technique, with ultrashort (femtoseconds) laser pulses. Their third-order susceptibility is calculated from the values of n_{2} and β. The influence of different particles' coatings and sizes on these nonlinear optical properties are investigated. The values of n_{2} and β depend more significantly on the nanoparticles' size than on the particular coating. We observe a decrease of β as the nanoparticles' diameters decrease, although the optical gap is found to be the same for all samples. The results are interpreted considering modifications in the electronic orbital shape due to the particles' nanosize effect.