Recent NMR experiments and molecular dynamics simulations have indicated that rhodopsin is preferentially solvated by omega-3 fatty acids compared to saturated chains. However, to date no physical theory has been advanced to explain this phenomenon. The present work presents a novel thermodynamic explanation for this preferential solvation based on statistical analysis of 26,100 ns all-atom molecular dynamics simulations of rhodopsin in membranes rich in polyunsaturated chains. The results indicate that the preferential solvation by omega-3 chains is entropically driven; all chains experience an entropic penalty when associating with the protein, but the penalty is significantly larger for saturated chains.