Layered van der Waals (vdW) magnetic materials have attracted significant research interest to date. In this work, we employ the first-principles many-body perturbation theory to calculate excited-state properties of a prototype vdW magnet, chromium trichloride (CrCl3), covering monolayer, bilayer, and bulk. Unlike usual non-magnetic vdW semiconductors, in which manyelectron interactions and excited states are sensitive to dimensionality, many-electron interactions are always enhanced and dominate quasiparticle energies and optical responses of both two-dimensional and bulk CrCl3. The electron-hole (e-h) binding energy can reach 3 eV in monolayer and remains as high as 2 eV in bulk. Because of the cancellation effect between selfenergy corrections and e-h binding energies, the lowest-energy exciton ("optical gap") is almost not affected by the change of dimensionality. Particularly, for the excitons with similar e-h binding energies, their dipole oscillator strength can differ by a few orders of magnitude. Our analysis shows that such a big difference is from a unique interference effect between e-h interactions and interband transitions. Finally, we find that the interlayer stacking sequence and magnetic coupling barely change quasiparticle band gaps and optical absorption spectra of CrCl3. Our findings give insight into the understanding of many-electron interactions and the interplay between magnetic orders and optical excitations in vdW magnetic materials.