Methyl beta-cyclodextrin was modified by coupling 2-hydroxyethyl methacrylate using hexamethylene diisocyanate as the coupling agent. The methyl beta-cyclodextrin-coupled monomer was polymerized thermally using azobisisobutyronitrile as the initiator. The new polymer is insoluble in water and organic solvents. The interaction of the polymer with two typical steroids, namely, cholesterol and testosterone, in different media of varying polarities was tested. The results showed that the polymer has a higher affinity toward cholesterol and the extent of absorption of cholesterol is found to increase with the polarity of the medium. The new polymer can be optimized as a reusable absorbent for steroids, particularly for cholesterol.