Magnetic correlations in the paramagnetic phase of CaFe2As2 (T_N=172 K) have been examined by means of inelastic neutron scattering from 180 K (~ 1.05 T_N) up to 300 K (~1.8 T_N). Despite the first-order nature of the magnetic ordering, strong but short-range antiferromagnetic (AFM) correlations are clearly observed. These correlations, which consist of quasi-elastic scattering centered at the wavevector Q_{AFM} of the low-temperature AFM structure, are observed up to the highest measured temperature of 300 K and at high energy transfer (E> 60 meV). The L dependence of the scattering implies rather weak interlayer coupling in the tetragonal c-direction corresponding to nearly two-dimensional fluctuations in the (ab) plane. The spin correlation lengths within the Fe layer are found to be anisotropic, consistent with underlying fluctuations of the AFM stripe structure. Similar to the cobalt doped superconducting BaFe2As2 compounds, these experimental features can be adequately reproduced by a scattering model that describes short-range anisotropic spin correlations with overdamped spin dynamics.