We have investigated the rotating magnetocaloric effect (R-MCE) of TmB4 - an anisotropic magnetic system with geometrical frustration of Shastry-Sutherland type. The R-MCE was obtained from detailed temperature dependencies of heat capacity in various magnetic fields of a single crystalline sample for crystal axes orientations c || B and c ⊥ B. The received results exhibit rather complex distributions of positive and negative entropy ΔS(T, B) and temperature ΔT(T, B) differences below and above TN when the direction of the magnetic field changes between directions c || B and c ⊥ B. The calculated results were confirmed by direct R-MCE measurements which, moreover, show an interesting angular dependence of R-MCE in the ordered phase, which seems to be related with the change of the effective magnetic field along the c axis during sample rotation. Thus, our study presents a new type of magnetic refrigerant with a rather large R-MCE for low temperature magnetic refrigeration, and points to further interesting magnetic features in the ordered phase of this frustrated system.