Developing filtration media for particulate matter (PM) removal has been proven to be extremely challenging. Here, we report a facile and scalable strategy to fabricate a multi-level structured polyacrylonitrile/graphene oxide (PAN/GO) air filtration membrane to remove ultrafine particles in air by combining multi-jet electrospinning and physical bonding. Our approach allows the thin PAN nanofibers and two-dimensional GO nanosheets to form interpenetrating bonding structures on non-woven fabric and to assemble into stable filtration media. The resultant composite membranes can filtrate 300 nm particles with a high removal efficiency of 98.8%, a low pressure drop of 55 Pa, and a desirable quality factor of 0.34 Pa^-1. This multi-level PAN/GO filter is expected to have wider applications not only for the ultrafine particle filtration and separation but also for the design of three-dimensional functional structures in the future.