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 was investigated using field emission scanning electron microscopy (FE-SEM), fourier transform infrared spectroscopy (FTIR), and X-ray diffraction (XRD) experimental analyses. A certain amount of RE (up to 50 wt. % compared to PU pellets) nanoparticles (NPs) could be loaded on/into PU fibers. The tensile strength of PU/RE nanofibrous membranes decreased slightly with the increasing RE powder content. The PU nanofiber containing 50 wt. % RE powder had the smallest fiber diameter of 356 nm; it also showed the highest VOC absorption capacity compared with other composite membranes, having an absorption capacity about three 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.