Non-magnetic colloidal nanostructures can demonstrate magnetic properties typical for diluted magnetic semiconductors because the spins of dangling bonds at their surface can act as the localized spins of magnetic ions. Here we report the observation of dangling-bond magnetic polarons (DBMPs) in 2.8-nm diameter CdSe colloidal nanocrystals (NCs). The DBMP binding energy of 7 meV is measured from the spectral shift of the emission lines under selective laser excitation. The polaron formation at low temperatures occurs by optical orientation of the dangling-bond spins (DBSs) that result from dangling-bond-assisted radiative recombination of spin-forbidden dark excitons. Modelling of the temperature dependence of the DBMP-binding energy and emission intensity shows that the DBMP is composed of a dark exciton and about 60 DBSs. The exchange integral of one DBS with the electron confined in the NC is similar to 0.12 meV.