Cobalt ferrite/reduced graphene oxide (CoFe2O4/RGO) nanocomposites were initially prepared by the interaction of alkyne-functionalized CoFe2O4 NPs and azide-functionalized graphene oxide (GO–N3) via the Cu (I)-catalyzed click reaction. The morphology and structure of CoFe2O4/RGO were investigated by means of XRD, FTIR, TGA, TEM, SEM and the electromagnetic parameters were measured by vector network analyzer. For CoFe2O4/RGO composites with click reaction, the minimum reflection loss could reach −40 dB at 6.8 GHz with a matching thickness of 4.0 mm, and also it had a bandwidth below −10 dB ranging from 5.8 to 8.5 GHz. The CoFe2O4/RGO composites with click reaction exhibited better microwave absorbing performance than the physical mixture. Furthermore, the covalent ligation between CoFe2O4 NPs and graphene oxide could make the composites have a promising future in electromagnetic wave absorption materials.