Monolayers of lead selenide nanocrystals of a few nanometers in height have been made by electrodeposition on a Au(111) substrate. These layers show a thickness-dependent dielectric function, which was determined using spectroscopic ellipsometry. The experimental results are compared with electronic structure calculations of the imaginary part of the dielectric function of PbSe nanocrystals. We demonstrate that the size-dependent variation of the dielectric function is affected by quantum confinement at well-identifiable points in the Brillouin zone, different from the position of the band-gap transition.