In this study, Cabernet Sauvignon red wine was subjected to reverse osmosis and nanofiltration processes at four different pressures (25, 35, 45, and 55 bar) and two temperature regimes (with and without cooling). The aim was to obtain concentrates with a higher content of phenolic compounds and antioxidant activity and to determine the influence of two membrane types (Alfa Laval RO98pHt M20 for reverse osmosis and NF M20 for nanofiltration) and different operating conditions on phenolics retention. Total polyphenol, flavonoid, monomeric anthocyanin contents, and antioxidant activity were determined spectrophotometrically. Flavan-3-ols and phenolic acids were analyzed on a high-performance liquid chromatography system and sample colour was measured by chromometer. The results showed that the increase in applied pressure and decrease in retentate temperature were favorable for higher phenolics retention. Retention of individual compounds depended on their chemical structure, membrane properties, membrane fouling, and operating conditions. Both types of membranes proved to be suitable for Cabernet Sauvignon red wine concentration. In all retentates, phenolic compounds content was higher than in the initial wine, but no visible color change (ΔE* < 1) was observed. The highest concentrations of phenolic compounds were detected in retentates obtained at 45 and 55 bar, especially with cooling.