The newly discovered superconductor MgB2 has a transition temperature Tc of about 40 K, which is touchingthe upper line of that predicted by the phonon-mediated Bardeen-Cooper-Schrieffer (BCS) theory. It is interesting toinvestigate the flux creep in MgB2 and compare it with other superconductors. We have measured the magnetizationrelaxation of MgB2 sintered at high temperature and high pressure. It is found that the quantum tunnelling and thethermally activated flux creep are very weak, implying a strong pinning in this material.