The coercive field of permanent magnets decreases with increasing grain size. The grain size dependence of coercivity is explained by a size dependent demagnetizing factor. In Dy free Nd_2Fe_14B magnets the size dependent demagnetizing factor ranges from 0.2 for a grain size of 55 nm to 1.22 for a grain size of 8300 nm. The comparison of experimental data with micromagnetic simulations suggests that the grain size dependence of the coercive field in hard magnets is due to the non-uniform magnetostatic field in polyhedral grains.