Very recently, a new concept called multiplicative differential (and the corresponding $c$-differential uniformity) was introduced by Ellingsen \textit{et al} in [C-differentials, multiplicative uniformity and (almost) perfect c-nonlinearity, IEEE Trans. Inform. Theory, 2020] which is motivated from practical differential cryptanalysis. Unlike classical perfect nonlinear functions, there are perfect $c$-nonlinear functions even for characteristic two. The objective of this paper is to study power function $F(x)=x^d$ over finite fields with low $c$-differential uniformity. Some power functions are shown to be perfect $c$-nonlinear or almost perfect $c$-nonlinear. Notably, we completely determine the $c$-differential uniformity of almost perfect nonlinear functions with the well-known Gold exponent. We also give an affirmative solution to a recent conjecture proposed by Bartoli and Timpanella in 2019 related to an exceptional quasi-planar power function.