The way in which a perforated structure is formed has attracted much interest in the porous membrane research community. This novel structure gives materials an excellent antifouling property as well as a low operating pressure and other benefits. Unfortunately, the current membrane fabrication methods usually involve multi-step processes and the use of organic solvents or additives. Our study is the first to offer a way to prepare perforated membrane by using a physical foaming technique with CO₂ as the blowing agent. We selected thermoplastic polyurethane (TPU) as the base material because it is a biocompatible elastomer with excellent tensility, high abrasion resistance, and good elastic resilience. Various processing parameters, which included the saturation pressure, the foaming temperature, and the membrane thickness, were applied to adjust the TPU membrane’s perforated morphology. We proposed a possible formation mechanism of the perforated membrane. The as-prepared TPU membrane had good mechanical properties with a tensile strength of about 5 MPa and an elongation at break above 100%. Such mechanical properties make this novel membrane usable as a self-standing filter device. In addition, its straight-through channel structure can separate particles and meet different separation requirements.