Direct measurements of the electron dynamics in gold colloidal nano-particles are performed using femtosecond laser spectroscopy. The small size of the particles is found to render electronic relaxation substantially slower (7 ps) than in gold thin films (1 ps). This is attributed to weaker electron-phonon coupling and less hot electron transport in small particles. This observation is qualitatively consistent with theory but, quantitatively, much less drastic than predicted. The discrepancy between experiment and theory is primarily attributed to surface imperfection.