Process for producing an integrally asymmetrical hydrophobic polyolefinic membrane with a sponge-like, open-pored, microporous support structure and a separation layer with a denser structure compared to the support structure, via a thermally induced liquid-liquid phase separation process. A solution of at least one polyolefin in a solvent system consisting of a compound A and a compound B is extruded to form a shaped object. Compound A is a weak solvent and compound B a non-solvent for the polymer. After leaving the die, the shaped object is cooled using a solid or liquid cooling medium that does not dissolve or react chemically with the polymer at temperatures up to the die temperature, until the phase separation and solidification of the high-polymer-content phase take place.