Object Goal Navigation-requiring an agent to locate a specific object in an unseen environment-remains a core challenge in embodied AI. Although recent progress in Vision-Language Model (VLM)-based agents has demonstrated promising perception and decision-making abilities through prompting, none has yet established a fully modular world model design that reduces risky and costly interactions with the environment by predicting the future state of the world. We introduce WMNav, a novel World Model-based Navigation framework powered by Vision-Language Models (VLMs). It predicts possible outcomes of decisions and builds memories to provide feedback to the policy module. To retain the predicted state of the environment, WMNav proposes the online maintained Curiosity Value Map as part of the world model memory to provide dynamic configuration for navigation policy. By decomposing according to a human-like thinking process, WMNav effectively alleviates the impact of model hallucination by making decisions based on the feedback difference between the world model plan and observation. To further boost efficiency, we implement a two-stage action proposer strategy: broad exploration followed by precise localization. Extensive evaluation on HM3D and MP3D validates WMNav surpasses existing zero-shot benchmarks in both success rate and exploration efficiency (absolute improvement: +3.2% SR and +3.2% SPL on HM3D, +13.5% SR and +1.1% SPL on MP3D). Project page: https://b0b8k1ng.github.io/WMNav/.