Quantum entanglement plays a central role for implementing quantum information processing. Deterministic control of quantum entanglement has been realized using a squeezed vacuum state. However, since photons are hard to localize, coherent transfer of quantum squeezing between information carrying photons and spatially localized atoms has long been desired. This coherent transfer is equivalent to the storage and retrieval of quantum entanglement and is one of the most important building blocks for implementing the intricate tasks of quantum information processing. Here, for the first time, we successfully demonstrate the storage and retrieval of a squeezed vacuum state with electromagnetically induced transparency using a cold ensemble of Rb atoms as a memory medium. These results will lead to the deterministic manipulation of quantum fluctuations of atoms as well as the generation of highly non-classical atomic states.