Cholesterol is synthesised from simpler molecules within the body. Sites of synthesis is primarily the liver, but it is also synthesised in the adrenal glands and the intestines. Cholesterol is a pretty important substance, forming the building blocks of cell membranes throughout the body, and is also involved in the production of Vitamin D as a precursor molecule - it also fills this role for the bodies development of various important hormones including the sex hormones.It is converted and stored as bile. Bile is really important to the digestive system. So, cholesterol is a key compound within the body.
If you have a diet rich in animal fats / cholesterol, you will switch off or reduce the bodys own manufacture of cholesterol through a homeostatic, biofeedback mechanism.
So, even if your diet was absent cholesterol through animal fats and whatever, you would still have cholesterol within the body - good thing too :)
The health risks of cholesterol relate to having very much more circulating within your system, and the hypothesis that too much cholesterol deposits within the circulatory system, forming plaques which in turn can lead to heart disease.