Multifunctional membranes with outstanding heat dissipation, wave‐transparent, and self‐cleaning performance, as well as strength and ventilation, are urgently needed to meet the rapid development of portable electronics. Herein, we reported an improved phase separation process to prepare thermoplastic polyurethane (TPU)/multi‐wall carbon nanotube (MWCNT) composite membranes with open‐cell porous structure. Their morphology can be manipulated by regulating the content of MWCNT and varying processing parameters. These TPU/MWCNT composite membranes exhibit outstanding mechanical properties. For example, they can possess elastic deformation behavior in a wide temperature range from −50 to 100°C, and bear a load of more than 40,000 times their own weight. Moreover, there is not any obvious crease on the surface of membranes after a forced folding process, indicating their outstanding shape‐recovery ability and elasticity. Furthermore, these membranes have low dielectric constant and loss factor, and they are almost transparent to X‐band electromagnetic waves. What's more, these membranes also show outstanding water‐vapor breathable performance. In addition, MWCNT and open‐cell porous structure endow TPU/MWCNT membranes efficient heat dissipation capacity and good self‐cleaning performance.