Oxigen goes from the alveolar's lumen to the cytoplasm of the erythrocyte, and that's 5 membranes:
- the "top" of the alveolar epithelial cell
- the "bottom" of such cell
- the "top" of the endothelial cell (capillary)
- the "bottom" of such cell
- the erythrocyte membrane
You got all the cells right, but your only problem was this: oxygen diffuses through the cell membrane entering the cell, moves through the cytoplasm, and diffuses through the membrane again exiting the cell. So, for each cell, you have to count 2 membranes. For the last one, the erythrocyte, you have only 1 membrane (because it is $\ce{O2}$ final destination).
For the $\ce{CO2}$ the situation is a little bit more tricky. We have the same 4 membranes (2x epithelial cell and 2x capillary), but $\ce{CO2}$ can come from 2 locations:
- from the erythrocyte, where it is formed from $\ce{H2CO3}$ (by the reaction $\ce{H2CO3 -> H2O + CO2}$) or released from the N-terminal group of proteins, like haemoglobin (where it has previously bound)
- from the plasma (around 9% of the $\ce{CO2}$).
In the first case we have 5 membranes, and in the second case just 4.
So, the correct answer is D.