Single-particle optical spectroscopy methods have enabled quantitative investigations of the optical, electronic and vibrational responses of nano-objects in the recent years. In this work, single-particle pump-probe optical spectroscopy was exploited to investigate the cooling dynamics of individual gold nanodisks supported on a sapphire substrate. The measured time-resolved signals are shown to directly reflect the temporal evolution of the nanodisk temperature following its sudden excitation. The single-particle character of the experiments enables a quantitative analysis of the amplitudes of the measured time-resolved signals, allowing to rationalize their large probe wavelength-dependence. The measured cooling kinetics mainly depends on nanodisk thickness and to a much lesser extent on diameter, in agreement with numerical simulations based on Fourier law of heat diffusion, also accounting for the presence of a thermal resistance at the interface between the nanodisks and their substrate. For the explored diameter range (60-190 nm), the nanodisk cooling rate is limited by heat transfer at the gold-sapphire interface, whose thermal conductance can be estimated for each investigated nanodisk.