Finite size effects on the cooperative thermal denaturation of proteins are considered. A dimensionless measure of cooperativity, Omega, scales as N^zeta, where N is the number of amino acids. Surprisingly, we find that zeta is universal with zeta = 1 + gamma, where the exponent gamma characterizes the divergence of the susceptibility for a self-avoiding walk. Our lattice model simulations and experimental data are consistent with the theory. Our finding rationalizes the marginal stability of proteins and substantiates the earlier predictions that the efficient folding of two-state proteins requires the folding transition temperature to be close to the collapse temperature.