The self-assembly of the biamphiphilic triblock copolymer poly(ethylene oxide)-b-poly(caprolactone)-b-poly(acrylic acid) into polymer vesicles is studied. The vesicles provide both biocompatibility and biodegradability. Moreover, the biamphiphilic nature of the triblock copolymer provides different surface properties in the interior and in the outer interface of the vesicles. Preparation of the aggregates by direct dissolution of the copolymer in a solution of albumin does not alter the morphology of the aggregates, and thus, they have the potential to immobilize protein molecules. Since a part of the protein is encapsulated in the interior of the vesicles, they can be used as nanocontainers. A further fraction of the protein is bound to the outer interface, which is primarily composed of the poly(acrylic acid) tails. Immobilization of protein on the outer interface can stabilize the colloidal particles and also provide them with a biofunctional component.