Behavior of nanofiltration (NF270 and NP030) and reverse osmosis (BW30 and ORAK) polymeric membranes in systems with dense CO2 was evaluated. The influence of transmembrane pressure on the CO2 permeate flux at subcritical and supercritical conditions was assessed and membrane characterization (FTIR-ATR, zeta potential, Hansen’s solubility parameters) was performed. The results of CO2 permeation suggest that selectivity of polymeric matrix depends, in great extent, on the interaction between solvent and polymer. This behavior corroborates with the presence of hysteresis phenomenon in permeability curves and solubility results. Also, zeta potential showed a decrease in the membrane point of zero charge (PZC) after pressurization/depressurization cycle, suggesting possible CO2 sorption in the membrane polymer. Nevertheless, the oil retention for NP030 and ORAK membranes was up to 85% and no damage to the membrane structure was found. Both membranes presented potential for concentration of fatty acids under dense phase CO2.