Combined Heat and Power (CHP) microgrid integrates a variety of distributed energy sources and has high energy utilization rate, which brings it bright application prospects. Scientific and rational system planning is the foundation of economical and efficient operation of CHP microgrid. On this basis, a multi-objective planning method for CHP microgrid is proposed which considers demand side thermal and electric cooperative response. The objective function takes into account both economic and carbon emission. The demand side thermal and electric cooperative response model is based on the thermodynamic characteristics of buildings and hot water tank, and integrates the shiftable electrical load. A multi-objective Mixed Integer Linear Programming (MILP) model for CHP microgrid planning based on demand side cooperative response is proposed. The simulation is carried out on a residential CHP microgrid planning to validate the effectiveness of the model. The results show that the application of the demand side thermal and electrical cooperative response lowers the capacities of the gas boiler and the thermal storage tank required in the CHP microgrid, and reduces the overall cost obviously. This work is supported by Science and Technology Department Foundation of Hebei Province (No. 0254528D).