  Magnetic properties are investigated for the Kondo lattice by using the
continuous time quantum Monte Colro (CT-QMC) and the dynamical mean field
theory (DMFT). The DMFT+CT-QMC approach is extended so as to derive the
anisotropic magnetic response in the antiferromagnetic phase. The longitudinal
and transverse magnetic susceptibilities are numerically derived in the
antiferromagnetic phase. For the RKKY regime with a small Kondo coupling, the
transverse susceptibility does not decrease below the transition temperature
while the longitudinal susceptibility decreases as expected from the mean field
picture. In the competing region between the RKKY interaction and the Kondo
effect, however, both longitudinal and transverse susceptibilities decrease
below the transition temperature. The results obtained naturally explain the
temperature dependence of the magnetic susceptibility observed in
CeT$_2$Al$_{10}$ ($T$=Ru,Os,Fe) family.
