Demand response, in which energy customers reduce their energy consumption at the request of service providers, is spreading as a new technology. However, the amount of load curtailment from each customer is uncertain. This is because an energy customer can freely decide to reduce his energy consumption or not in the current liberalized energy market. Because this uncertainty can cause serious problems in a demand response system, it is clear that the amount of energy reduction should be predicted and managed. In this paper, a data-driven prediction method of load curtailment is proposed, considering two difficulties in the prediction. The first problem is that the data is very sparse. Each customer receives a request for load curtailment only a few times a year. Therefore, the k-nearest neighbor method, which requires a relatively small amount of data, is mainly used in our proposed method. The second difficulty is that the characteristic of each customer is so different that a single prediction method cannot cover all the customers. A prediction method that provides remarkable prediction performance for one customer may provide a poor performance for other customers. As a result, the proposed prediction method adopts a weighted ensemble model to apply different models for different customers. The confidence of each sub-model is defined and used as a weight in the ensemble. The prediction is fully based on the electricity consumption data and the history of demand response events without demanding any other additional internal information from each customer. In the experiment, real data obtained from demand response service providers verifies that the proposed framework is suitable for the prediction of each customer’s load curtailment.