By using high-resolution electron energy loss spectroscopy and density functional theory, we have studied the interaction of carbon monoxide with a defected graphene sheet. Both experiments and theory indicate that unsaturated C atoms at vacancies are able to capture carbon monoxide at room temperature. Definitely, the sequestration of carbon monoxide at carbon vacancies implies the formation of a weak C-O-C bond, evidenced by its peculiar vibrational energy of 150 meV (1209 cm-1). We also show that, by tuning the density of vacancies, it is possible to obtain a selective CO adsorption at vacancies without intercalation under the graphene cover. Captured CO molecules are stably adsorbed up to a temperature of 500 K. These findings represent the initial step toward the development of processes for the graphene-mediated partial sequestration and selective oxidation of CO.