We have examined the quantum size effect in anatase TiO2 nanoparticles. No shift of the band gap energy has been observed for sizes 2R greater than or equal to 1.5 nm. On the other hand, we have found unusual variation of the oscillator strength of the first allowed direct transition. The results indicate considerable structural size effect, which disables the effective mass approximation (EMA) in these nanocrystallites.