In this paper, a theoretical investigation on plasmon modes in a circular cylindrical double-layer graphene structure is presented. Due to the interlayer electromagnetic interaction, there exist two branches of plasmon modes, the optical plasmon mode and the acoustic plasmon mode. The characteristics of these two modes, such as mode pattern, effective mode index and propagation loss, are analyzed. The modal behaviors can be effectively tuned by changing the distance between two graphene layers, the chemical potential of graphene and the permittivity of interlayer dielectric. Importantly, the breakup of tradeoff between mode confinement and propagation loss is discovered in the distance-dependent modal behavior, which originates from the unique dispersion properties of a double-layer graphene system. As a consequence, both strong mode confinement and longer propagation length can be achieved. Our results may provide good opportunities for developing applications based on graphene plasmonics in circular cylindrical structure.