Flame-retardant chemicals are frequently used within consumer products and can even be employed as a treatment on the surface of different types of materials (e.g., wood, steel, and textiles) to prevent fire or limit the rapid spread of flames. Functionalized graphene oxide (FGO) nanosheets are a promising construction coating nanomaterial that can be blended with sodium metasilicate and gypsum to reduce the flammability of construction buildings. In this work, we designed and fabricated novel and halogen-free FGO sheets using the modified Hummers method; and subsequently functionalized them by pentaerythritol through a chemical impregnation process before dispersing them within the construction coating. Scanning electron microscopic images confirm that the FGO-filled coating was uniformly dispersed on the surface of wooden substrates. We identified that the FGO content is a critical factor affecting the fire retardancy. Thermogravimetric analysis of the FGO coating revealed that higher char residue can be obtained at 700 °C. Based on the differential scanning calorimetry, the exothermic peak contained a temperature delay in the presence of FGO sheets, primarily due to the formation of a thermal barrier. Such a significant improvement in the flame retardancy confirms that the FGO nanosheets are superior nanomaterials to be employed as a flame-retardant construction coating nanomaterial for improving thermal management within buildings.