Area under the ROC curve (AUC) is a widely used performance measure for imbalanced classification. Oftentimes, the ubiquitous imbalanced data such as financial records from fraud detection or genomic data from cancer diagnosis contains sensitive information, and therefore it is of practical and theoretical importance to develop privacy-preserving AUC maximization algorithms. In this paper, we propose differentially private empirical risk minimization (ERM) for AUC maximization, and systematically study their privacy and utility guarantees. In particular, we establish guarantees on the generalization (utility) performance of the proposed algorithms with fast rates. The technical novelty contains fast rates for the regularized ERM in AUC maximization, which is established using the peeling techniques for Rademacher averages [1] and properties of U-Statistics [2,3] to handle statistically non-independent pairs of examples in the objective function, and a new error decomposition to handle strongly smooth losses (e.g. least square loss). In addition, we revisit the private ERM with pointwise loss [4,5] and show optimal rates can be obtained using the uniform convergence approach.