The chiral optical absorption by a single vortex in a p_x pm i p_y-wave superconductor is studied theoretically. The p_x pm i p_y-wave state was recently suggested as the symmetry of the order parameter of Sr_2 Ru O_4 superconductor. Due to the violation of time reversal symmetry, there are two types of vortices whose winding orientation is the same or opposite to the angular momentum of the Cooper pair. In a real material domains with p_x pm i p_y-wave states are expected. However, optical absorption of circular polarized light depends only on the winding of the vortex and has a low energy absorption peak which results in dichroism. Dichroism occurs if superconductivity is realized on a single Fermi surface sheet. However, in the case of several Fermi surface sheets dichroism may disappear, if the both types of carriers are present, electron-like and hole-like. Therefore chiral optical absorption is a possible experiment to detect the orbital dependent superconductivity which was suggested as the superconducting state of Sr_2 Ru O_4.