A study of the magnetization of the antiferromagnetic magnetoelectric crystal LiCoPO4 as a function of temperature and the strength of a magnetic field oriented along the antiferromagnetic vector reveals features due to the presence of a weak ferromagnetic moment. The value of the magnetic moment along the b axis at 15 K is approximately 0.12 G. The existence of a ferromagnetic moment can account for the anomalous behavior of the magnetoelectric effect observed previously in this crystal.