We perform a wavelet analysis of the temperature and polarization maps of the Cosmic Microwave Background (CMB) delivered by the WMAP experiment in search for a parity violating signal. Such a signal could be seeded by new physics beyond the standard model, for which the Lorentz and CPT symmetries may not hold. Under these circumstances, the linear polarization direction of a CMB photon may get rotated during its cosmological journey, a phenomenon also called cosmological birefringence. Recently, Feng et al. have analyzed a subset the WMAP and BOOMERanG 2003 angular power spectra of the CMB, deriving a constraint that mildly favors a non zero rotation. By using wavelet transforms we set a tighter limit on the CMB photon rotation angle Deltaalpha= -2.5 pm 3.0 (Deltaalpha= -2.5 pm 6.0) at the one (two) sigma level, consistent with a null detection.