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Density changes between sheared zones and their surrounding amorphous matrix as a result of plastic deformation in a cold-rolled metallic glass (melt-spun Al₈₈Y₇Fe₅) were determined using high-angle annular dark-field (HAADF) detector intensities supplemented by electron-energy loss spectroscopy (EELS), energy-dispersive X-ray (EDX) and nano-beam diffraction analyses. Sheared zones or shear bands were observed as regions of bright or dark contrast arising from a higher or lower density relative to the matrix. Moreover, abrupt contrast changes from bright to dark and vice versa were found within individual shear bands. We associate the decrease in density mainly with an enhanced free volume in the shear bands and the increase in density with concomitant changes of the mass. This interpretation is further supported by changes in the zero loss and Plasmon signal originating from such sites. The limits of this new approach are discussed.