We report a study on the third-order nonlinear optical properties of nanocomposite thin films composed of gold particles embedded in a silica host matrix. Samples of various metal volume fractions, ranging from 8 to 35%, are synthesized by the sputtering technique. Some of them are annealed. Nonlinear optical measurements, which are performed by using the z-scan technique, reveal both a very large nonlinear absorption and a weak nonlinear refraction close to the surface plasmon resonance frequency of the particles. We especially study the effect of the metal concentration and the influence of thermal treatment on the real and imaginary components of the third-order nonlinear susceptibility. Our results reveal that, as the metal concentration reaches a few percent, the mutual electromagnetic interactions between particles greatly enlarge the nonlinear optical response of the material and can not be neglected in the theoretical analysis. Moreover, the thermal treatment leads, for a given concentration, to a significant increase of the nonlinear response, which is ascribed to a modification of the material morphology. We finally point out that the material nonlinear properties are very sensitive to the incident wavelength through the local field enhancement phenomenon.