In this paper, we initiate the harmonic analysis of Gaussian multiplicative chaos (GMC) on the circle, i.e. the study of its Fourier coefficients. In particular, we show that almost surely GMC is a so-called Rajchman measure which means that its Fourier coefficients converge to 0 when the frequency goes to infinity. We supplement this result with a convergence in law result for the rescaled Fourier coefficient (for small values of the parameter underlying the GMC theory).
