Not CO2, but particulate matter [1]: basically tiny solid particles caused by exhaust, tires etc that stay suspended in the air. They are linked to a range of health issues in the concentrations found in many urban cities. When you hear about cities banning diesel cars or ICE cars or old cars, that's a measure to reduce suspended particulate matter, not CO2. But luckily unlike CO2, particulate matter can be caught by a HEPA air filter.

1: https://en.m.wikipedia.org/wiki/Particulates