The aim of this paper is to study the compactness for the commutators of intrinsic square functions, including the intrinsic $g_{\lambda}^*$-function and the intrinsic Littlewood-Paley g-function. Using a weighted version of the Frech\'{e}t-Kolmogorov-Riesz theorem, the compactness for their commutators generated with the CMO functions is obtained on the weighted Lebesgue spaces.