In this research, we successfully fabricated a novel closed pore polyacrylonitrile (PAN)/polyvinyl pyrrolidone (PVP) composite nanofibrous membrane (PCNM) on the substrate of a commercial polypropylene window mesh. First, smooth and uniform PAN/PVP composite nanofibers (PCNs) were manufactured by blending PAN and PVP with a mass ratio of 5:5 during electrospinning. Subsequently, the prepared PCNs were hot pressed in a vacuum drying oven at a given temperature of 90°C. The morphology and filter efficiency of PCN and PCNM were investigated. It was found that hot-pressing treatment significantly affected the pore structure and orientation of PCNM, which contributed to its closed pore structure and good alignment. The filter efficiency results indicated that the hot-pressed PCNMs have excellent removal efficiency of up to 96.8% of fine particulate matter. This research demonstrates that PCNMs have potential as filters for indoor dust removal and will provide a new idea for the development of air filters.