We present the first measurements of excitons in bulk liquid He, performed at several densities. Inelastic x-ray scattering was used to take these measurements of He-4. The exciton measurements are very similar to those for solid He-4, with the exciton excitations occurring at nearly the same energy transfers for the same pressure. This similarity suggests that excitons in solid helium rely mostly on short range order. The measured peaks for the liquid are asymmetric in nature and fit well to two Gaussians, suggesting that at least two exciton transitions are present in the signal peak.