Exosomes are much bigger then proteins and can be separated by ultracentrifugation, this book chapter should help you:
A protocol for exosome isolation and characterization: evaluation of ultracentrifugation, density-gradient separation, and immunoaffinity capture methods.
You could first concentrate your material using ultrafiltration with membrane cutoff 100 K, so that the majority of proteins smaller than 100 kDa will be removed. Then concentrated vesicles are applied on a column of Sepharose CL-4B. This size-exclusion chromatography will remove essentially all proteins smaller than exosomes.
I would not recommend ultracentrifugation as it pellets only 10-20% of vesicles present in biological fluids.
Dear Igor, obviously we refer to two different things: the ultracentrifugation I am referring to is above 50000g, in that conditions you can't use membrane, but you will have more than 95% recovery. We have tasted it with ghost cell and it works perfectly. Best Regards.