Anyone knows if there is a luggage storage somewhere near Dongzhimen train station?

Oh, I am afraid there is no official storage site near the train station. You may try to store your luggage at the nearby mall or hotel with a low charge. Apart from that, I know the "door-to-door self storage" may help. It is around 0.7mi away on Middle Xingfu Road. For secure storage, you can consult them in advance by dialing 010-6416 8413.