The axial magnetic field, which couples to left- and right-handed fermions with opposite signs, may generate an equilibrium dissipationless energy flow of fermions in the direction of the field even in the presence of interactions. We report on numerical observation of this Axial Magnetic Effect in quenched SU(2) lattice gauge theory. We find that in the deconfinement (plasma) phase the energy flow grows linearly with the increase of the strength of the axial magnetic field. In the confinement (hadron) phase the Axial Magnetic Effect is absent. Our study indirectly confirms the existence of the Chiral Vortical Effect since both these effects have the same physical origin related to the presence of the gravitational anomaly.