The present invention relates to a method of filtering an oil, the method including the following steps (A) and (B): (A) allowing a hydrophobic gas to permeate through a porous membrane including a hydrophobic polymer as a main component; and (B) allowing an oil to permeate through the porous membrane, in which the step (B) is performed after the hydrophobic gas that has permeated through the porous membrane is confirmed to have a relative humidity of 0 to 60% in the step (A).