We describe interferometric observations of the asteroid (41) Daphne in the thermal infrared obtained with the Mid-Infrared Interferometric Instrument (MIDI) of the Very Large Telescope Interferometer (VLTI). We derived the size and the surface thermal properties of (41) Daphne by means of a thermophysical model (TPM), which is used for the interpretation of interferometric data for the first time. From our TPM analysis, we derived a volume equivalent diameter for (41) Daphne of 189 km, using a non-convex 3-D shape model derived from optical lightcurves and adaptive optics images (B. Carry, private communication). On the other hand, when using the convex shape of Kaasalainen et al. (2002. Icarus 159, 369-395) in our TPM analysis, the resulting volume equivalent diameter of (41) Daphne is between 194 and 209 km, depending on the surface roughness. The shape of the asteroid is used as an a priori information in our TPM analysis. No attempt is made to adjust the shape to the data. Only the size of the asteroid and its thermal parameters (albedo, thermal inertia and roughness) are adjusted to the data. We estimated our model systematic uncertainty to be of 4% and of 7% on the determination of the asteroid volume equivalent diameter depending on whether the non-convex or the convex shape is used, respectively. In terms of thermal properties, we derived a value of the surface thermal inertia smaller than 50 J m-2 s-0.5 K-1 and preferably in the range between 0 and 30 J m-2 s-0.5 K-1. Our TPM analysis also shows that Daphne has a moderate macroscopic surface roughness.