Process for producing integrally asymmetrical hydrophobic polyolefinic membranes with a separation layer, in particular for gas exchange, via thermally induced liquid-liquid phase separation. A solution of at least one polyolefin in a solvent system containing a compound A and a compound B is extruded to form a shaped object. Compound A is a strong solvent and compound B a weak non-solvent for the polymer. After leaving the die, the shaped object is cooled using a solid or liquid cooling medium, which does not dissolve the polymer and does not react chemically with it, until the phase separation and solidification of the high-polymer-content phase take place. The integrally asymmetrical membrane producible in this manner has a porosity of greater than 30% to 75% by volume, a sponge-like, open-pored, microporous support layer without macrovoids and on average isotropic pores, a separation layer on at least one of its surfaces with pores