Computed optical properties of membrane probes are typically evaluated in the gas phase, i.e. neglecting the influence of the membrane. In this study, we examine how and to what extent a membrane influences the one- and two-photon absorption (1PA and 2PA, respectively) properties for a number of cholesterol analogs and thereby also evaluate the validity of the common gas phase approach. The membrane is modeled using the polarizable embedding scheme both with and without the effective external field extension of the polarizable embedding model. The shifts in excitation energies and 1PA oscillator strengths compared to the gas phase are relatively small, while the 2PA cross section is more affected. The electric field inside the membrane induces a larger change in the permanent electric dipole moment upon excitation of the analogs compared to the gas phase, which leads to an almost 2-fold increase in the 2PA cross section for one cholesterol analog. The relative trends observed in the membrane are the same as in the gas phase, and the use of gas phase calculations for qualitative comparison and design of cholesterol membrane probes is thus a useful and computationally efficient strategy.