The invention relates to a carbon fiber membrane, which comprises at least a carbon nano-tube membrane and graphite sheets, wherein the carbon nano-tube membrane comprises a membrane formed by connecting a plurality of carbon nano-tubes through Van der Waals force, the plurality of the carbon nano-tubes extend along the same direction and the adjacent carbon nano-tibes in the extending direction are connected in a head-to-tail manner, a plurality of the graphite sheets are distributed on the outer walls of each carbon nano-tube, and an angle is formed between each graphite sheet and the outer wall of the carbon nano-tube. The present invention further relates to a preparation method of the carbon fiber membrane.