In one aspect there is provided a foam comprising: a polymeric matrix comprising polyethylene grafted polymerized siloxane, and a plurality of cells formed in the polymeric matrix and containing a blowing agent comprising carbon dioxide. In another aspect there is provided a method of making a foam comprising: grafting polymerized siloxane to polyethylene to form a grafted intermediate; molding the grafted intermediate to form a molded intermediate; and foaming the molded intermediate using high-pressure CO2 to form the foam, wherein the foam has a porosity greater than 75%.