The study Impact of Roadside Tree Lines on Indoor Concentrations of Traffic-Derived Particulate Matter by Barbara A. Maher and her colleagues at Lancaster University (UK) writes: Electron microscopy analyses show that leaf-captured PM is concentrated in agglomerations around leaf hairs and within the leaf microtopography.
The study is also on Chemical and Engineering News but that page is corrupt.
It is a paid publication, so I was unable to actually check the quote.
A picture of these particles (from the report?) is on ZME Science.
A picture of the leaf structures is on TreeHugger, but it probably does not come from the report (it's a Wikimedia pic and shows no particles).
Note the addition (in the ZME science) However, it’s still unclear what the trees actually do with it – it can be estimated that at one point or another it reaches the soil, and while that isn’t exactly good either, it’s pretty much the best thing you can do in terms of common urban pollution.
I can imagine that with rain the particles are quickly transported into the soil, i.e. effectively removed from the air.