Diffuse alveolar hemorrhage is a rare and life-threatening complication developed in systemic lupus erythematosus (SLE). We report a case of diffuse alveolar hemorrhage in a patient with lupus nephritis. The patient presented with acute respiratory and renal failure. Therefore, she was assessed as an activation of systemic lupus erythematosus. Despite pulse methylprednisolone, immunosuppressant drugs, and intravenous immunoglobulin (IVIG) therapy, the disease progressed. The patient participated in a plasmapheresis program, and double filtration plasmapheresis (DFPP) therapy was performed for six sessions in 6 days. Soon after the initiation of DFPP, she recovered with resolution of the radiological changes within 6 days and was successfully extubated. Thus, DFPP therapy should be considered for the treatment of diffuse alveolar hemorrhage, particularly in patients of systemic lupus erythematosus with lupus nephritis.