One reference is in table 3 of Dr. Nelsen's article http://www.aafp.org/afp/20021215/2259.html

Mentions low cholesterol related to poor fat absorption and decreased hepatic lipoprotein production.

My son, who had all the GI problems as a child, had very low cholesterol. I don't know if he has ever had it rechecked since going GF.
Anne