The electronic structure, local magnetic moments and magnetic susceptibility of Fe, Co and Ni substitutional impurities in Al clusters are calculated within the framework of the local spin-density approximation and the model of an 'atom embedded in a jellium sphere'. Clusters containing up to 100 atoms are considered. It is obtained that the 3d impurities may be magnetic or non-magnetic depending on the Al cluster size. The impurity magnetic susceptibility is an oscillating function of cluster size that results from the size dependence of the position of the virtual bound states relative to the host Fermi energy. The magnetic susceptibility for Fe impurity atoms in Al clusters is positive, the magnetic susceptibility for Co atoms oscillates around zero, and the Ni impurity is diamagnetic. The results are in agreement with experimental data for dilute Al-based alloys.