We present low field magnetization and susceptibility measurements made on a single crystal of the ferromagnetic superconductor UCoGe. The interplay between ferromagnetism and superconductivity comes into view in the study of hysteresis along the c axis (easy magnetization axis). The Meissner state (perfect diamagnetism) could not be observed in very low magnetic fields for all three crystallographic directions, implying that the sample is always in the mixed state. Notwithstanding, the Meissner-Ochsenfeld effect (reversible flux expulsion) occurs and is found to be anisotropic. For the c axis in low fields, it is proportional to the bulk magnetization M (and thus to the population of domains) and not to the applied magnetic field H. On a microscopic level, our interpretation of these results implies that flux is expelled independently from each domain proportional to its volume.