Optoelectronic sampling is the ultimate method to perform ultra‐high frequency analog‐to‐digital conversion. Thanks to the ps photo‐thermo‐bolometric effect in high mobility hexagonal boron nitride (h‐BN) encapsulated graphene, a state‐of‐the‐art optoelectronic sampler over a 40 GHz bandwidth using a 4 ps pulsed laser is demonstrated. The superior transport and optoelectronic linearities of this graphene sampler lead to very high harmonic rejections below –43 dB above 20 GHz. With a physics‐based microscopic model, it is shown that harmonics are generated by optoelectronics saturation effects and only appear when carrier energy reaches that of optical phonons, which is very high in h‐BN encapsulated graphene. This device is the first ultra‐fast optoelectronic sampler based on the bolometric effect.