Yes, some types of chemotherapy can increase cholesterol levels. Some research has suggested that elevated cholesterol levels, typical of those in a Western-style diet, may accelerate the development of breast tumors and exacerbate their aggressiveness.
Here is a link to a good article that discusses the types of chemo that impact cholesterol levels and ways to improve management of high cholesterol:
http://www.breastcancer.org/treatment/side_effects/inc_cholesterol.jsp