We show that a graphene sheet perforated with micro- or nano-size antidots have prominent absorption resonances in the microwave and terahertz regions. These resonances correspond to surface plasmons of a continuous sheet perturbed by a lattice. They are excited in different diffraction orders, in contrast to cavity surface plasmon modes existing in disconnected graphene structures. The resonant absorption by the antidot array can essentially exceed the absorption by a continuous graphene sheet, even for high antidot diameter-to-period aspect ratios. Surface plasmon-enhanced absorption and suppressed transmission is more efficient for higher relaxation times of the charge carriers.