Band 3, or anion exchanger 1 (AE1), is one of the indispensable transmembrane proteins involved in the effective respiratory process of the human body and is primarily responsible for the exchange of bicarbonate and chloride anions across the plasma membrane of erythrocyte. However, the molecular mechanism of ion transport of Band 3 is not completely understood, yet. In this work, we systematically investigate the key binding sites of bicarbonate ions in Band 3 and the impact of cholesterol (CHOL) in lipid bilayers on bicarbonate ion binding using all-atom molecular dynamics (MD) simulations. We examine the dynamics of interactions of bicarbonate ions with Band 3 in the microsecond time scale and calculate the binding free energy of the anion in Band 3. The results indicate that the residue R730 of Band 3 is the most probable binding site for bicarbonate ions. CHOL enhances the bicarbonate ion binding by influencing the conformational stability of Band 3 and compressing the volume of the Band 3 cavity. These findings provide some insights into the bicarbonate ion binding in Band 3 and are helpful for understanding the anion exchange of Band 3.