Nanocomposites based on CdSe or CdSe/ZnS quantum dots (QDs) and poly(methyl methacrylate) (PMMA) of different molecular weights and functionality were synthesized by ligand exchange of oleic acid with RAFT-based PMMA. The successful ligand exchange was confirmed by dynamic light scattering in combination with the approach “macromolecules—ghosts” and transmission electron microscopy. Comparative study of mono- and telechelics of PMMA revealed the similarities and differences in their behavior in formation of complexes with QDs and the optical properties of the corresponding nanocomposites. Telechelics exhibited higher efficiency in the complex formation and seemed to be promising candidates for the construction of devices based on QDs and polymer matrix for optical applications.