Volatile organic compounds (VOCs) are a source of air pollution and are harmful to both human health and the environment. In this study, we fabricated polyurethane/rare earth (PU/RE) composite nanofibrous membranes via electrospinning with the aim of removing VOCs from air. The morphological structure of PU/RE nanofibrous mats were investigated using FE-SEM, EDX, and XRD experimental analyses. A certain amount of RE (up to 50 wt% compared to PU pellets) particles could be loaded on/into PU fibers. The PU nanofiber containing 50 wt% RE powder had the smallest fiber diameter of 356 nm; it also showed the highest VOCs absorption capacity compared with other composite membranes, having an absorption capacity about 3 times greater than pure PU nanofibers. In addition, all of the PU/RE nanofibrous membranes readily absorbed styrene the most, followed by xylene, toluene, benzene and chloroform. Therefore, the PU/RE nanofibrous membrane can play an important role in removing VOCs from the air, and its development prospects are impressive because they are emerging materials.