Conformal predictors, introduced by [
], serve to build prediction intervals by exploiting a notion of conformity of the new data point with previously observed data. In the classification problem, conformal predictor may respond to the problem of classification with reject option. In the present paper, we propose a novel method of construction of confidence sets, inspired both by conformal prediction and by classification with reject option. An important aspect of these confidence sets is that, when there are several observations to label, they control the proportion of the data we want to label. Moreover, we introduce a notion of risk adapted to classification with reject option. We show that for this risk, the confidence set risk converges to the risk of the confidence set based on the Bayes classifier.