Carbon fiber composites have great application prospects as a potential electromagnetic (EM) wave‐absorbing material, yet it remains extremely challenging to integrate multiple functions of EM wave absorption, mechanical strength, thermal insulation, and flame retardancy. Herein, a novel carbon fiber reinforced C/SiOC aerogel (CF/CS) composite is successfully prepared by sol‐gel impregnation combined with an ambient drying process for the first time. The density of the obtained CF/CS composites can be controlled just by changing sol‐gel impregnation cycles (original carbon fiber felt (S0), and samples with one (S1) and two (S2) impregnation cycles are 0.249, 0.324, and 0.402 g cm−3, respectively), allowing for efficient tuning of their properties. Remarkably, S2 displays excellent microwave absorption properties, with an optimal reflection loss of ‐65.45 dB, which is significantly improved than S0 (‐10.90 dB). Simultaneously, compared with S0 (0.75 and 0.30 MPa in the x/y and z directions), the mechanical performance of S2 is dramatically improved with a maximum compressive strength of 10.37 and 4.93 MPa in the x/y and z directions, respectively. Moreover, CF/CS composites show superior thermal insulation capability than S0 and obtain good flame‐retardant properties. This work provides valuable guidance and inspiration for the development of multifunctional EM wave absorbers.