Blood is filled with many different cells, proteins, ions and other material. Dialysis is able to remove certain small proteins, ionic salts and other small molecules from the blood. The size of the pores in the dialysis filter is carefully controlled so only the things you want to remove pass through it.
HIV virus is far too large for dialysis to remove from the blood. If dialysis could remove large molecules, it would be a disaster as you would start losing useful large proteins like albumin.
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