Urchin‐type cobalt phosphide microparticles assembled by nanorod were encapsulated in a graphene framework membrane (CoP@GF), and used as a binder‐free electrode for alkali metal ion batteries. Electrochemical measurements indicate that this membrane exhibits enhanced reversible lithium, sodium, and potassium storage capabilities. Moreover, the energy storage properties of CoP@GF electrodes in alkali metal ion batteries display an order of Li>Na>K. DFT calculations on adsorption energy of CoP surfaces for Li, Na, and K indicated that CoP surfaces were more favorable to transfer electrons to Li atoms than Na and K, and the surface reactivity can be ordered as Li‐CoP>Na‐CoP>K‐CoP; thus, CoP@GF exhibits better storage capacity for lithium. This work provides experimental and theoretical basis for understanding the electrochemical performance of cobalt phosphide‐based membranes for alkali metal ion batteries.