Exclude certain indices from a KFold split in Python SKlearn

I am using SKlearn KFold as follows:

        kf = KFold(10000, n_folds=5, shuffle=True, random_state=88)

However, I want to exclude certain indices from the training folds (only). How can this be achieved? Thanks.

I wonder if this can be achieved by using sklearn.cross_validation.PredefinedSplit?