A method is suggested which allows truncation of the virtual space in Cholesky decomposition-based multiconfigurational perturbation theory (CD-CASPT2) calculations with systematic improvability of the results. The method is based on a modified version of the frozen natural orbital (FNO) approach used in coupled cluster theory. The idea is to exploit the near-linear dependence among the eigenvectors of the virtual-virtual block of the second-order Møller–Plesset density matrix. It is shown that FNO-CASPT2 recovers more than 95% of the full CD-CASPT2 correlation energy while requiring only a fraction of the total virtual space, especially when large atomic orbital basis sets are in use. Tests on various properties commonly investigated with CASPT2 demonstrate the reliability of the approach and the associated reduction in computational cost and storage demand of the calculations.