We use polarized inelastic neutron scattering to study the spin-excitations anisotropy in the bilayer iron-based superconductor CaKFe$_4$As$_4$ ($T_c$ = 35 K). In the superconducting state, both odd and even $L-$modulations of spin resonance have been observed in our previous unpolarized neutron scattering experiments (T. Xie {it et al.} Phys. Rev. Lett. {bf 120}, 267003 (2018)). Here we find that the high-energy even mode ($sim 18$ meV) is isotropic in spin space, but the low-energy odd modes consist of a $c-$axis polarized mode around 9 meV along with another partially overlapped in-plane mode around 12 meV. We argue that such spin anisotropy is induced by the spin-orbit coupling in the spin-vortex-type fluctuations of this unique compound. The spin anisotropy is strongly affected by the superconductivity, where it is weak below 6 meV in the normal state and then transferred to higher energy and further enhanced in the odd mode of spin resonance below $T_c$.
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