We study experimentally and theoretically the exciton-phonon interaction in MoSe2 monolayers encapsulated in hexagonal BN, which has an important impact on both optical absorption and emission processes. The exciton transition linewidth down to 1 meV at low temperatures makes it possible to observe high-energy tails in absorption and emission extending over several meV, not masked by inhomogeneous broadening. We develop an analytical theory of the exciton-phonon interaction accounting for the deformation potential induced by the longitudinal acoustic phonons, which plays an important role in exciton formation. The theory allows fitting absorption and emission spectra and permits estimating the deformation potential in MoSe2 monolayers. We underline the reasons why exciton-phonon coupling is much stronger in two-dimensional transition metal dichalcogenides as compared to conventional quantum well structures. The importance of exciton-phonon interactions is further highlighted by the observation of a multitude of Raman features in the photoluminescence excitation experiments.