Infrared-vacuum ultraviolet double resonance experiments have been implemented in the ultracold environment provided by a Cinétique de Réaction en Ecoulement Supersonique Uniforme apparatus. With this technique rate coefficients of two kinds have been measured for rotational energy transfer in collisions between CO and He: (a) those for total removal from the selected rotational states J=0, 1, 4, and 6 in the vibronic state X 1Σ+, v=2, and (b) those for transfer between selected initial and specific final states. Using different Laval nozzles, results have been obtained at several different temperatures: 294, 149, 63, 27, and 15 K. The thermally averaged cross sections for total removal by collisions with He show only slight variations both with initial rotational state and with temperature. The variation of state-to-state rate coefficients with ΔJ show several general features: (i) a decrease with increasing ΔJ; (ii) a propensity to favor odd ΔJ over even ΔJ; and (iii) at lower temperatures, the distribution of rate coefficients against ΔJ becomes narrower, and decreases in J are increasingly favored over increases in J, a preference which is most strongly seen for higher initial values of J. The results are shown to be in remarkably good agreement with those obtained in ab initio scattering calculations by Dalgarno and co-workers [Astrophys. J. 571, 1015 (2002)].