In this paper, by comparing the time scales associated with the velocity relaxation and correlation time of the random force due to dust charge fluctuations, memory effects in the velocity relaxation of an isolated dust particle exposed to the random force due to dust charge fluctuations are considered, and the velocity relaxation process of the dust particle is considered as a non-Markovian stochastic process. Considering memory effects in the velocity relaxation process of the dust particle yields a retarded friction force, which is introduced by a memory kernel in the fractional Langevin equation. The fluctuation-dissipation theorem for the dust grain is derived from this equation. The mean-square displacement and the velocity autocorrelation function of the dust particle are obtained, and their asymptotic behavior, the dust particle temperature due to charge fluctuations, and the diffusion coefficient are studied in the long-time limit. As an interesting feature, it is found that by considering memory effects in the velocity relaxation process of the dust particle, fluctuating force on the dust particle can cause an anomalous diffusion in a dusty plasma. In this case, the mean-square displacement of the dust grain increases slower than linearly with time, and the velocity autocorrelation function decays as a power-law instead of the exponential decay. Finally, in the Markov limit, these results are in good agreement with those obtained from previous works for Markov (memoryless) process of the velocity relaxation.