Little observational data are available on the weak stellar winds of hot subdwarf stars of B spectral type (sdB). Close binary systems composed of an sdB star and a compact object (white dwarf, neutron star or black hole) could be detected as accretion-powered X-ray sources. The study of their X-ray emission can probe the properties of line-driven winds of sdB stars that can not be derived directly from spectroscopy because of the low luminosity of these stars. Here we report on the first sensitive X-ray observations of two sdB binaries with compact companions. CD -30 11223 is the sdB binary with the shortest known orbital period (1.2 h) and its companion is certainly a white dwarf. PG 1232-136 is an sdB binary considered the best candidate to host a black hole companion. We observed these stars with XMM-Newton in August 2013 for 50 ks and in July 2009 for 36 ks, respectively. None of them was detected and we derived luminosity upper limits of about 1.5x10^29 erg/s for CD -30 11223 5x10^29 erg/s for PG 1232-136. The corresponding mass loss rate for PG 1232-136 is poorly constrained, owing to the unknown efficiency for black hole accretion. On the other hand, in the case of CD -30 11223 we could derive, under reasonable assumptions, an upper limit of about 3x10^-13 solar masses/yr on the wind mass loss rate from the sdB star. This is one of the few observational constraints on the weak winds expected in this class of low mass hot stars. We also report the results on the X-ray emission from a cluster of galaxies serendipitously discovered in the field of CD -30 11223. ; Comment: Accepted for publication on MNRAS