We introduce a new approach of materials design for terahertz magnonics making use of quantum confinement of terahertz magnons in layered ferromagnets. We show that in atomically designed multilayers composed of alternating atomic layers of ferromagnetic metals one can efficiently excite different magnon modes associated with the quantum confinement in the third dimension, i.e., the direction perpendicular to the layers. We demonstrate experimentally that the magnonic band structure of these systems can be tuned by changing the material combination and the number of atomic layers. We realize the idea of opening band gaps, with a size of up to several tens of millielectronvolts, between different terahertz magnon bands and thereby report on the first step toward the realization of atomic-scale magnonic crystals.