Linear stability analysis of thermal convection is studied for a viscoelastic fluid in a rotating porous cylindrical annulus. The modified Darcy-Jeffrey model with the addition of the Coriolis term in a rotating frame of reference is applied to characterize the non-Newtonian rheology in porous media. We investigate how the interaction among the Coriolis force, viscoelasticity, and bounded sidewalls affects the preferred mode at the onset of convection. The results show that for a slowly rotating case, the oscillatory mode is always preferred for any considered cylindrical radii. However, for a moderately rotating case, the oscillatory preferred mode only arises intermittently as the outer cylindrical radius gradually increases. This result is quite different from the case for viscoelastic fluids in a rotating porous layer or in a porous cylinder without rotation. Further, we discover that for a pair of given cylindrical radii when the Taylor number exceeds a critical value depending on the viscoelastic parameters, the oscillatory convection does not occur. We also examine how the variations of the Taylor number and the viscoelastic parameters affect the patterns of temperature disturbance at the onset of convection.