Upon ionization, rare-gas (like Ar and Xe) clusters shift their absorption spectrum from the ultraviolet to the visible. This happens as bonding becomes much stronger due to the removal of an electron from a strongly antibonding orbital. In this article, we study the absorption spectrum of small cationic xenon clusters (Xe(n) (+), with n=3,...,35) by means of time-dependent density functional theory. These calculations include relativistic effects through the use of relativistic j-dependent pseudopotentials in a two-spinor formulation of the Kohn-Sham equations. The peak positions in our calculated spectra are in fairly good agreement with experiment and confirm that absorption is mainly due to a charged linear core composed of 3, 4, or 5 Xe atoms where the positive charge is localized. However, we find large deviations concerning the oscillator strengths, which can be partially explained by the unsatisfactory treatment of exchange in common density functionals. Furthermore, we find that adequate ground-state geometries are necessary for the correct prediction of the qualitative features of the spectra.