In this paper, reduced graphene oxide functionalized with cobalt ferrite nanocomposites (CoFe@rGO) as a novel type of electromagnetic wave (EW) absorbing materials was successfully prepared by a three-step chemical method including hydrothermal synthesis, annealing process and mixing with paraffin. The effect of the sample thickness and the amount of paraffin on the EW absorption properties of the composites was studied, revealing that the absorption peaks shifted toward the low frequency regions with the increasing thickness while other conditions had little or no effect. It is found that the CoFe@rGO enhanced both dielectric losses and magnetic losses and had the best EW absorption properties and the wide wavelength coverage of the hole Ku-Band when adding only 5wt% composites to paraffin. Therefore, CoFe@rGO could be used as an efficient and lightweight EW absorber. Compared with the research into traditional absorbing materials, this figures of merit are typically of the same order of magnitude, but given the lightweight nature of the material and the high level of compatibility with mass production standards, making use of CoFe@rGO as an electromagnetic absorber material shows great potential for real product applications.