We derive constraints on feedback by active galactic nuclei (AGN) by setting limits on their thermal Sunyaev-Zel'dovich (SZ) imprint on the cosmic microwave background (CMB). The amplitude of any SZ signature is small and degenerate with the poorly known sub-mm spectral energy distribution of the AGN host galaxy and other unresolved dusty sources along the line of sight. Here we break this degeneracy by combining microwave and sub-mm data from Planck with all-sky far-infrared maps from the AKARI satellite. We first test our measurement pipeline using the Sloan Digital Sky Survey (SDSS) redMaPPer catalogue of galaxy clusters, finding a highly significant detection ($>$$20σ$) of the SZ effect together with correlated dust emission. We then constrain the SZ signal associated with spectroscopically confirmed quasi-stellar objects (QSOs) from SDSS data release 7 (DR7) and the Baryon Oscillation Spectroscopic Survey (BOSS) DR12. We obtain a low-significance ($1.6σ$) hint of an SZ signal, pointing towards a mean thermal energy of $≃ 5 \times 10^{60}$ erg, lower than reported in some previous studies. A comparison of our results with high-resolution hydrodynamical simulations including AGN feedback suggests QSO host masses of $M_{200c} ∼ 4 \times 10^{12}~h^{-1}M_⊙$, but with a large uncertainty. Our analysis provides no conclusive evidence for an SZ signal specifically associated with AGN feedback. ; Comment: 21 pages, 14 figures, submitted to MNRAS