The Knudsen effect on heat transfer to a particle exposed to a thermal plasma is important for many practical situations experienced in plasma chemistry and plasma processing. This paper provides theoretical results of this effect based on the “heat conduction potential jump” approach. It is shown that a correction factor which depends on the Knudsen number must be introduced into the expressions for heat fluxes obtained previously based on the continuum approach. The Knudsen effect is stronger for smaller particles and it is also more pronounced for an Ar-H2 plasma (compared to Ar and nitrogen plasmas at the same temperature). Since the Knudsen effect depends on the surface temperature of a particle, calculation of particle heating becomes more complicated.