Currently, a majority of existing algorithms for sparse optimization problems are based on regularization framework. The main goal of these algorithms is to recover a sparse solution with k non-zero components(called k-sparse). In fact, the sparse optimization problem can also be regarded as a multi-objective optimization problem, which considers the minimization of two objectives (i.e., loss term and penalty term). In this paper, we proposed a revised version of MOEA/D based on iterative thresholding algorithm for sparse optimization. It only aims at finding a local part of trade-off solutions, which should include the k-sparse solution. Some experiments were conducted to verify the effectiveness of MOEA/D for sparse signal recovery in compressive sensing. Our experimental results showed that MOEA/D is capable of identifying the sparsity degree without prior sparsity information.