We show theoretically that near a fluid-fluid interface a single active colloidal particle generating, e.g., chemicals or a temperature gradient experiences an effective force of hydrodynamic origin. This force is due to the fluid flow driven by Marangoni stresses induced by the activity of the particle; it decays very slowly with the distance from the interface, and can be attractive or repulsive depending on how the activity modifies the surface tension. We show that, for typical systems, this interaction can dominate the dynamics of the particle as compared to Brownian motion, dispersion forces, or self-phoretic effects. In the attractive case, the interaction promotes the self-assembly of particles into a crystal-like monolayer at the interface.