Dark matter could be composed of compact dark objects (CDOs). A close binary of CDOs orbiting in the interior of solar system bodies can be a loud source of gravitational waves (GWs) for the LIGO and VIRGO detectors. We perform the first search ever for this type of signal and rule out close binaries, with separations of order 300 m, orbiting near the center of the Sun with GW frequencies (twice the orbital frequency) between 50 and 550 Hz and CDO masses above $approx 10^{-9} M_odot$. This mass limit is eight orders of magnitude lower than the mass probed in a LIGO search at extra galactic distances.
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