We report a facile approach to produce lightweight microcellular polyetherimide (PEI)/graphene nanocomposite foams with a density of about 0.3 g/cm3 by a phase separation process. It was observed that the strong extensional flow generated during cell growth induced the enrichment and orientation of graphene on cell walls. This action decreased the electrical conductivity percolation from 0.21 vol % for PEI/graphene nanocomposite to 0.18 vol % for PEI/graphene foam. Furthermore, the foaming process significantly increased the specific electromagnetic interference (EMI) shielding effectiveness from 17 to 44 dB/(g/cm3). In addition, PEI/graphene nanocomposite foams possessed low thermal conductivity of 0.065-0.037 W/m·K even at 200 °C and high Young's modulus of 180-290 MPa.