We present here direct experimental evidence of the magnetic polarization of Zn atoms in ZnO nanoparticles capped with different materials by means of x-ray magnetic circular dichroism (XMCD). Our results demonstrate that the magnetism in this material is intrinsic and relays in the ZnO conduction band. The analysis of both x-ray absorption spectroscopy and XMCD signals points out the formation of a well-defined interface between ZnO and the capping molecule in which the exotic magnetism arises at the hybridized band formed among Zn and the bonding atom of the molecule. The magnetic properties of these systems should critically depend on the details of this interface which may offer a new insight into the different observations for seemingly identical materials.