A new approach to the formation of asymmetric ultrafiltration membranes based on insoluble rigid-chain aromatic polyimide (PI) and involving polyacrylonitrile modified by partial cyclization (m-PAN) has been studied. It has been found that m-PAN exerts a favorable effect on the membrane formation and composition: it (i) promotes fast precipitation at the stage of wet formation; (ii) acts as an imidization catalyst that allows for decreasing temperature at the stage of solid-phase thermal imidization; and (iii) it remains as a full-fledged component in the PI/m-PAN membrane. It was shown that up to 20 wt % m-PAN can be effectively introduced into the membrane composition. The membranes have been calibrated using a model mixture of proteins with different molecular weights. The structure, permeability to water, and thermomechanical properties of the membranes have been studied.