Numerous research studies have been done for exosomes, particularly focusing on membrane proteins and included nucleic acids, and the volume of the knowledge about the lipids in the exosomal membrane has been increasing. However, the dynamic property of the exosomal membrane is hardly studied. By employing milk exosome as an example, herein the exosomal membrane was characterized focusing on the membrane fluidity and polarity. The lipid composition and phase state of milk exosome (exosome from bovine milk) were estimated. The milk exosome contained enriched Chol (43.6 mol % in total lipid extracts), which made the membrane in the liquid-ordered (lo) phase by interacting with phospholipids. To suggest a model of exosomal vesicle cargo, the liposome compositions that mimic milk exosome were studied: liposomes were made of cholesterol (Chol), milk sphingomyelin (milk SM), and 1-palmitoyl-2-oleoyl-sn-glycero-3-phosphocholine (POPC). By using fluorescent probes 1,6-diphenyl-1,3,5-hexatriene and 6-dodecanoyl-2-dimethylaminonaphthalene, the microenvironments of submicron-sized membranes of exosome and model liposomes were investigated. The membrane fluidity of milk exosome was slightly higher than those of Chol/milk SM/POPC liposomes with a similar content of Chol, suggesting the presence of enriched unsaturated lipids. The most purposeful membrane property was obtained by the liposome composition of Chol/milk SM/POPC = 40/15/45. From the above, it is concluded that Chol is a fundamental component of the milk exosomal membrane to construct the enriched lo phase, which could increase the membrane rigidity and contribute to the function of exosome.