Fano resonances are central features in the responses of many systems including atoms, molecules, and nanomaterials. They are consequences of interferences between two channels, most frequently associated to two system modes. In plasmonic materials, Fano interferences between optical modes have been shown, experimentally and theoretically, to induce narrow features in their scattering spectra. By investigating individual silver-gold heterodimers, we first experimentally demonstrate that Fano interference is also a key effect in the optical absorption of plasmonic nano-objects, in agreement with theoretical predictions. Conversely to previously investigated systems, the two interacting modes at the origin of absorptive Fano effect are mostly localized on either one or the other dimer component. Experimental results were obtained by selectively monitoring the optical absorption of one dimer component using a two-color nonlinear time-resolved technique. This also opens the way to full optical far-field non-contact investigations of charge or energy exchanges between nano-objects with a spatial resolution much smaller than the optical wavelength.