Adsorption and self-assembly of cobalt phthalocyanine (CoPc) molecules on Pb(111) thin films with a thickness ranging from 10 atomic monolayers (ML) to 20 ML were investigated by using scanning tunneling microscopy and spectroscopy (STM/STS). Unprecedented thickness-selective oscillating adsorption and self-assembly behavior of the molecules on the films were observed. STS measurement reveals that this oscillatory behavior arises from quantum size effect. The strong quantum confinement of electron motion in the Pb films modulates the electronic density of states at the Fermi level (DOS(E-F)), leading to preferential adsorption at thicknesses of higher DOS(E-F). The work provides an unambiguous evidence for quantum modulation of surface reactivities of a metal thin film.