Structural properties of peracetylated beta-cyclodextrin in supercritical carbon dioxide were investigated by means of molecular dynamics simulations. The study indicated a strong reduction of the cavity accessibility to guest molecules, compared to native beta-cyclodextrin in water. Indeed, the cavity is self-closed during the largest part of the simulation, which agrees well with suggestions made on the basis on high-pressure NMR experiments. Self-closure happens because one glucose unit undergoes a main conformational change (from chair to skew) that brings one of the acetyl groups in the wide rim of the cyclodextrin to the cavity interior. This arrangement turns out to be quite favorable, persisting for several nanoseconds. In addition to the wide rim self-closure, a narrow rim self-closure may also occur, though it is less likely and exhibits short duration (< 1 ns). Therefore, the number of solvent molecules reaching the cavity interior is much smaller than that found in the case of native beta-cyclodextrin in water after correction to account for different molar densities. These findings support the weak tendency of the macromolecule to form host-guest complexes in this nonconventional medium, as reported by some experiments. Finally, Lewis acid/base interactions between the acetyl carbonyl groups and the solvent CO2 molecules were analyzed through ab initio calculations that revealed the existence of a quite favorable four-member ring structure not yet reported. The ensemble of these results can contribute to establish general thermodynamic principles controlling the formation of inclusion complexes in supercritical CO2, where the hydrophilicity/hydrophobicity balance is not applicable.