High-density Polyethylene (HDPE), with a density above 0.95 g/cm3, has been widely used in terahertz systems. The advantages of low absorption loss, low refractive index and high rigidity make HDPE an ideal material for cryostat window, focus lens and substrate. HDPE can be machined easily and be used as a substrate material for components such as metal mesh filters and polarizers. What’s more, it is quite inert and can be used at cryogenic temperatures. On account of these applications, we need to characterize the dielectric property of HDPE precisely in a wide frequency range. In this paper, we present the transmittance measurements of a 2 mm thick HDPE sheet from 0.1 THz to 15 THz. Three kinds of measurement methods are employed to cover the whole frequency range. A vector network analyzer (VNA) combined with a quasi-optical transmissometer has been used to measure the transmittance and dielectric constant of HDPE from 0.16 THz to 0.18 THz at 300 K and 4 K. A Time Domain Spectrometer (TDS) is employed to cover the frequency range from 0.2 THz to 3 THz since the VNA can’t work upon 1 THz. A Fourier Transform Spectroscopy (FTS) has been used for the measurement from 3 THz to 15 THz since the TDS can’t achieve broad band and fast scan speed. The measured transmittance of HDPE is nearly 0.93 below 1 THz and decrease to 0.3 when the frequency increase to 15 THz. A rather elusive absorption band at 2.2 THz has also been observed. The dielectric constant of HDPE has been measured by VNA and TDS, showing a frequency independency from 0.1 THz to 3 THz.