Compartmentalization of the cytoplasm by membranes should have a strong influence on the diffusion of macromolecules inside a cell, and we have studied how this could be reflected in fluorescence correlation spectroscopy (FCS) experiments. We derived the autocorrelation function measured by FCS for fluorescent particles diffusing close to a soft membrane, and show it to be the sum of two contributions: short timescale correlations come from the diffusion of the particles (differing from free diffusion because of the presence of an obstacle), whereas long timescale correlations arise from fluctuations of the membrane itself (which create intensity fluctuations by modulating the number of detected particles). In the case of thermal fluctuations this second type of correlation depends on the elasticity of the membrane. To illustrate this calculation, we report the results of FCS experiments carried out close to a vesicle membrane. The measured autocorrelation functions display very distinctly the two expected contributions, and allow both to recover the diffusion coefficient of the fluorophore and to characterize the membrane fluctuations in term of a bending rigidity. Our results show that FCS measurements inside cells can lead to erroneous values of the diffusion coefficient if the influence of membranes is not recognized.