An original method is proposed for preparing highly concentrated solutions of PAN copolymer in N-methylmorpholine-N-oxide (NMMO) and forming membranes for nanofiltration from these solutions. The high activity of the solvent with respect to the polymer provides short preparation time of spinning solutions in comparison with PAN solutions obtained in other solvents. The use of the rheological approach made it possible to find the optimal concentration for obtaining membranes. The formation of PAN membranes from the obtained solutions is proposed by the rolling method. The morphology of the formed membranes depends on the method of removing the precipitant from the sample. The features of the formed morphology of PAN membranes were studied by scanning electron microscopy. It was revealed that the use of water as a rigid precipitant leads to the formation of a homogeneous and symmetric morphology in the membrane. The average pore sizes in the membrane have been obtained by porosimetry. The study of the separating properties of PAN membranes revealed noteworthy values of the permeability and rejection for the anionic dyes Orange II and Remazol Brilliant Blue (74 and 97%, respectively). The mechanical properties of PAN membranes from solutions in NMMO are not inferior to analogs formed from commercially used direct solvents.