In this paper, the privacy issue of the recently proposed transactive energy system for electric power system is investigated for the first time. It is identified that the private information of individual market participants will be subject to the risk of leakage during the market interactions. In order to enable the feature of privacy preservance for market participants, a homomorphic encryption-based approach is developed to augment the existing design of transactive energy system. The proposed privacy-preserving design based on the Paillier encryption scheme is then demonstrated on a transactive energy system that coordinates and controls residential air conditioners under the same feeder to manage the feeder congestion. The simulation results confirm the effectiveness of the proposed design in protecting the privacy of individual market participants without affecting the overall system performance.