Chemiluminescent (CL) functionalized nanomaterials with good CL property, excellent catalytic performance, and fast magnetic separation ability have great help in CL biological analysis. In this study, the magnetic core cobalt ferrite nanoparticles (CoFe2O4 NPs), possessing good peroxidase (POD)-like activity, were synthesized directly by a one-step solvothermal process. Then, N-(4-aminobutyl)-N-ethylisoluminol-gold NPs (ABEI-Au NPs) were modified on the CoFe2O4 NPs surface via a redox method to obtain CoFe2O4@ABEI-Au NPs. The synthetic NPs exhibited a spherical structure featuring a mean size of 125 ± 20 nm. The CL property of CoFe2O4@ABEI-Au NPs was more than 100 times that of ABEI-Au NPs, showing the good catalytic property of CoFe2O4 NPs. Furthermore, CoFe2O4@ABEI-Au NPs also displayed good superparamagnetism, which could be quickly separated from the mixture. Hence, a label-free CL immunosensor was established on the basis of CoFe2O4@ABEI-Au NPs for copeptin detection. The immunosensor had a wide linear range from 1.0 × 10–13 to 1.0 × 10–8 g/mL and a low detection limit of 3.3 × 10–14 g/mL, which is better than most of the immunosensors reported so far. The developed immunosensor was used for the analysis of copeptin in human serum specimens, and the measured results were close to the values of enzyme linked immunosorbent assay (ELISA), manifesting the feasibility in AMI clinical diagnosis. This label-free CL immunosensor featuring ease of fabrication, sensitivity, and rapid separation provides a versatile platform for bioanalysis.