We demonstrate magnetic dichroism from optically excited states in two-photon photoemission. Using ultrathin cobalt films grown on Cu(001), we observe unoccupied quantum well states which give rise to a sizable intensity change in photoemission under magnetization reversal. The simultaneous comparison of both circular and linear magnetic dichroism in the same system permits us to check fundamental symmetry requirements and allows us to explicitly elucidate the common origin of both effects. Based on our observations we argue that the observed effect is related to spin-orbit coupling in the intermediate quantum well states.