We evaluate the threshold power for self-focusing in gold nanorod colloids of varying concentration by a power limiting method in the femtosecond filamentation regime. The pulses are tuned near the longitudinal plasmon peak of the nanorods, leading to saturation of linear absorption and reshaping of the particles. We evaluated the last two effects by optical transmission measurements and spectroscopic analysis and estimated that considerable particle deformation does not occur before the collapse of the beam. We performed numerical simulations based on the experimental results, and evaluated only a subtle, monotonically increasing enhancement of the nonlinear refractive index of the host material (water) as the nanoparticles concentration increases. The role of higher-order contributions is discussed. Our work provides an alternative characterization approach of ultrafast nonlinearities in absorbing media. It further emphasizes that self-focusing of intense femtosecond pulses in gold nanocomposites is hampered by the ultrafast modulation of the susceptibility of the metal.