Many biological processes are known to be based on molecular sequestration. This kind of dynamics involves two types of molecular species, namely targets and sequestrants, that bind to form a complex. In the simple framework of mass-action law, key features of these systems appear to be threshold-like profiles of the amounts of free molecules as a function of the parameters determining their possible maximum abundance. However, biochemical processes are probabilistic and take place in stochastically fluctuating environments. How these different sources of noise affect the final outcome of the network is not completely characterised yet. In this paper we specifically investigate the effects induced by a source of extrinsic noise onto a minimal stochastic model of molecular sequestration. We analytically show how bimodal distributions of the targets can appear and characterise them as a result of noise filtering mediated by the threshold response. We then address the correlations between target species induced by the sequestrant and discuss how extrinsic noise can turn the negative correlation caused by competition into a positive one. Finally, we consider the more complex scenario of competitive inhibition for enzymatic kinetics and discuss the relevance of our findings with respect to applications.