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The consumption of coal resources has caused an increase in CO₂ emissions. A scientific concept that can realize CO₂ sequestration, the harmless treatment of solid wastes, and coal extraction under buildings, railways, and water bodies (BRW) is proposed. First, a novel CO₂ mineralized filling body (CMFB) is developed by employing CO₂ gas, fly ash, silicate additives, and cement. It is then injected into the mined-out mining roadways (MRs) of the continuous extracting and continuous backfill (CECB) mining method to ameliorate the overburden migration and thus extract the coal body under the BRW. The AHP-fuzzy comprehensive evaluation method was employed to construct a prediction model for the suitability of this concept. Subsequently, the evaluation model is generalized and applied to the Yu-Shen mining area. Each indicator affecting adaptability is plotted on a thematic map, and the corresponding membership degree is determined. The aptness for 400 boreholes distributed in the entire area was determined and a zoning map which divides the whole area into good, moderate, slightly poor, and extremely poor suitability was drawn. This paper puts forward a mathematical model for predicting the suitability of using CECB and CMFB to sequestrate CO₂. Research results can provide references for determining the site of CO₂ sequestration under the premise of maximizing the economic and ecological benefits, which is conducive to constructing ecological, green, and sustainable coal mines.