The Floquet-Magnus expansion is a useful tool to calculate an effective Hamiltonian for periodically driven systems. In this study, we investigate the convergence of the expansion for a one-body nonlinear system in a continuous space, a driven anharmonic oscillator. In this model, all eigenstates of the time evolution operator are found to be localized in energy space, and the expectation value of the energy is bounded from above. We first propose a general procedure to estimate the radius of convergence of the Floquet-Magnus expansion for periodically driven systems with an unbounded energy spectrum. By applying it to the driven anharmonic oscillator, we numerically show that the expansion diverges for all driving frequencies even if the anharmonicity is arbitrarily small. This conclusion contradicts the widely accepted belief that the divergence of the Floquet-Magnus expansion is a direct consequence of quantum ergodicity, which implies that each eigenstate of the time evolution operator is a linear combination of all available eigenstates of the unperturbed Hamiltonian and the system heats up to infinite temperature after long intervals.