https://phys.org/news/2018-07-co2-shortagewhy-carbon-dioxide-air.html

The problem is the cost. While the amount of CO₂ in the air is damaging the climate, relatively speaking there are so few CO₂ molecules in the air that sucking them out is very expensive. But there may be other solutions that could help reduce carbon emissions and provide a new source of CO₂ for industry.

It's all a matter of concentration and energy consumption. The amount of CO₂ in the air (which is mostly made up of nitrogen and oxygen) is around 400 parts per million or 0.04%. If we were to represent a sample of molecules from the air as a bag of 5,000 balls, just two of them would be CO₂. Pulling them out of the bag would be very difficult.