The nuclear recoil effect on the g factor of Li-like ions is evaluated. The one-electron recoil contribution is treated within the framework of the rigorous QED approach to the first order in the electron-to-nucleus mass ratio m/M and to all orders in the parameter αZ. These calculations are performed in a range Z=3-92. The two-electron recoil term is calculated for low- and middle-Z ions within the Breit approximation using a four-component approach. The results for the two-electron recoil part obtained in the Letter strongly disagree with the previous calculations performed using an effective two-component Hamiltonian. The obtained value for the recoil effect is used to calculate the isotope shift of the g factor of Li-like ^{A}Ca^{17+} with A=40 and A=48 which was recently measured. It is found that the new theoretical value for the isotope shift is closer to the experimental one than the previously obtained value.