Concentrated dairy products are of increasing interest within the dairy industry. Skim milk concentrates can be produced by reverse osmosis membrane filtration, which can be considered a non-thermal process. Therefore, the physical properties of concentrates differ from the properties of concentrates produced by evaporation. In this study, reverse osmosis filtration of raw and pasteurised skim milk was carried out in batch up to 28% total solids content and the effect of thermal treatment (65–110 °C, 15 s) and storage at 5 °C up to ten days on rheological and physical properties of concentrates, were evaluated. Concentrates produced from pasteurised skim milk required longer concentration times and showed larger average casein micelle sizes, but limited structure build-up capability during storage compared to concentrates produced from raw milk which more readily created structural networks between the milk constituents and consequently had higher viscosity. Thermal treatment of concentrates increased their average particle size and viscosity, an effect enhanced by increasing the total solids content. Concentrates produced from non-pasteurised milk showed the strongest shear-thinning behaviour during storage. Thus, the thermal treatment of milk before or after the concentration process, controls the structure formation of skim milk concentrates during storage.