Apparently it depends on how the coffee is made. I happen to use paper-filtered:
Drinking boiled or French press coffee increases cholesterol levels.76 Modern paper coffee filters trap the offending chemicals and keep them from entering the cup. Therefore, drinking paper-filtered coffee does not increase cholesterol levels.77 78 Espresso coffee has amounts of the offending chemicals midway between those of other unfiltered coffees and paper-filtered coffee,79 but there is little research investigating the effect of espresso on cholesterol levels, and studies to date have produced conflicting results.80 8182 The effects of decaffeinated coffee on cholesterol levels remain in debate.
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78. Nygärd O, Refsum H, Velanb PM, et al. Coffee consumption and plasma total homocysteine: the Hordaland Homocysteine Study. Am J Clin Nutr 1997;65:136–43.
79. Gross G, Jaccaud E, Huggett AC. Analysis of the content of the diterpenes cafestol and kahweol in coffee brews. Food Chem Toxicol 1997;35:547–54.
80. D’Amicis A, Scaccini C, Tomassi G, et al. Italian style brewed coffee: effect on serum cholesterol in young men. Int J Epidemiol 1996;25:513–20.
81. D’Avanzo B, Santoro L, Nobill A, La Vecchia C. Coffee consumption and serum cholesterol. GISSI-EFRIM Study Group. Prev Med 1993;22:219–24.
82. [No authors listed.] Regular or decaf? Coffee consumption and serum lipoproteins. Nutr Rev 1992;50:175–8 [review].