That's what plants do, using energy from sunlight. Unfortunately, they aren't very efficient at it. So capturing enough CO2 to make a difference would require too much arable land. Which we need to grow food and stuff. And to let the broader ecosystem do its thing.

I'm sure that we could come up with CO2-capture devices that are far more efficient than plants.[0] But the thing is, plants make copies of themselves ;)

0) https://www.nature.com/articles/ncomms13237