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Liquid biopsy, screening cancer non‐invasively and frequently by detecting and quantifying molecular markers in physiological fluids, would significantly improve cancer survival rate but it remains a distant goal. The key obstacles presented by the highly heterogeneous samples are rapid/high‐yield purification and precise/selective marker capture by their antibody and oligo probes. As irregular expressions of these molecular biomarkers are the key signals, quantifying only those from the cancer cells would greatly enhance the performance of the screening tests. The recent discovery that the biomarkers are carried by nanocarriers, such as exosomes, with cell‐specific membrane proteins suggests that such selection may be possible, although a new suite of fractionation and quantification technologies would need to be developed. Although under‐appreciated, membrane microfluidics has made considerable contributions to resolving these issues. We review the progress made so far, based on ion‐selective, track‐etched, and gel membranes and advanced electrophoretic and nano‐filtration designs, in this perspective and suggest future directions.