The acrylonitrile‐co‐methallyl sulfonate surface‐treated (AN69ST) membrane is expected to improve hemodynamics in patients with sepsis through cytokine adsorption. However, the clinical literature on AN69ST membranes is very limited. We aimed to compare the circulatory effects of continuous renal replacement therapy (CRRT) between patients using the AN69ST membrane and polysulfone (PS) membrane (a nonadsorbing membrane). This retrospective observational study enrolled 38 patients with septic shock, as defined by Sepsis‐3 criteria, who required CRRT from April 2013 to March 2018. Those who died within 24 hours after CRRT initiation and received polymyxin B‐immobilized fiber column direct hemoperfusion, extracorporeal membrane oxygenation, and CRRT using other membranes were excluded. The primary outcome was the vasopressor dependency index during the 12 hours after CRRT initiation, which was calculated as (inotropic score)/(mean arterial pressure). Of 38 patients analyzed, 16 underwent CRRT with an AN69ST membrane and 22 with a PS membrane. The median patient age was 68 years, and the median Acute Physiology and Chronic Health Evaluation (APACHE) II score at intensive care unit admission was 29.5. The vasopressor dependency index decreased significantly during the 12 hours after CRRT initiation in both groups (AN69ST: from 0.50 ± 0.43 to 0.33 ± 0.27 [P < .05], PS: from 0.34 ± 0.30 to 0.21 ± 0.22 [P < .05]). The time course of the vasopressor dependency index during the 12 hours did not differ between the two groups (P = .11). The vasopressor dependency index decreased significantly after CRRT initiation in both groups. The time course of the vasopressor dependency index did not differ between the groups.