The discovery of pressure-induced superconductivity in helimagnets (CrAs, MnP) has attracted considerable interest in understanding the relationship between complex magnetism and unconventional superconductivity. However, the nature of the magnetism and magnetic interactions that drive the unusual double-helical magnetic order in these materials remains unclear. Here, we report neutron scattering measurements of magnetic excitations in CrAs single crystals at ambient pressure. Our experiments reveal well defined spin wave excitations up to about 150 meV with a pseudogap below 7 meV, which can be effectively described by the Heisenberg model with nearest neighbor exchange interactions. Most surprisingly, the spin excitations are largely quenched above the Néel temperature, in contrast to cuprates and iron pnictides where the spectral weight is mostly preserved in the paramagnetic state. Our results suggest that the helimagnetic order is driven by strongly frustrated exchange interactions, and that CrAs is at the verge of itinerant and correlation-induced localized states, which is therefore highly pressure-tunable and favorable for superconductivity.