In the supersymmetric (SUSY) standard model, the lightest neutralino may be the lightest SUSY particle (LSP), and it is is a candidate of the dark matter in the universe. The LSP dark matter might be produced by the non-thermal process such as heavy particle decay after decoupling of the thermal relic LSP. If the produced LSP is relativistic, and does not scatter enough in the thermal bath, the neutralino LSP may contribute as the warm dark matter (WDM) to wash out the small scale structure of O(0.1) Mpc. In this letter we calculate the energy reduction of the neutralino LSP in the thermal bath and study whether the LSP can be the WDM. If temperature of the production time T_I is smaller than 5MeV, the bino-like LSP can be the WDM and may contribute to the small-scale structure of O(0.1) Mpc. The Higgsino-like LSP might also work as the WDM if T_I< 2MeV. The wino-like LSP cannot be the WDM in the favoured parameter region.