Designated verifier signature schemes allow a signer to convince a designated verifier, in such a way that only the designated verifier will believe with the authenticity of such a signature. The previous constructions of designated verifier signature rely on the underlying Public Key Infrastructure, that requires both signer and verifier to verify the authenticity of the public keys, and hence, the certificates are required. In contrast to the previous constructions, in this paper, we propose the first notion and construction of the certificateless designated verifier signature scheme. In our new notion, the necessity of certificates are eliminated. We show that our scheme satisfies all the requirements of the designated verifier signature schemes in the certificateless system. We also provide complete security proofs for our scheme and prove that our scheme is unforgeable under the assumption of the Gap Bilinear Diffie-Hellman Problem in the random oracle model.