The study of the phase behavior of polyelectrolyte complex coacervates has attracted significant attention in recent years due to their potential use as membrane-less organelles, microreactors, and drug delivery platforms. In this work, we investigate the mechanism of protein loading in chain-length asymmetric complex coacervates composed of a polyelectrolyte and an oppositely charged multivalent ion. Unlike the symmetric case (polycation + polyanion), we show that protein loading is highly selective based on the protein's net charge: only proteins with charges opposite to the polyelectrolyte can be loaded. Through a series of systematic experiments, we identified that the protein loading process relies on the formation of a neutral three-component coacervate in which both the protein and the multivalent ion serve as complexing agents for the polyelectrolyte. Lastly, we demonstrated that this mechanism extends to the sequestration of other charged small molecules, offering valuable insights into designing functional multicomponent coacervates.