In this paper we investigate the photoluminescence (PL)properties and nonlinear transmission of Cu-doped CdSe colloidal quantum dots (QDs)under a nanosecond laser pulse excitation. We find a strong difference of the pump intensity dependent behavior between the basic exciton transition and Cu dopants associated PL. We also study the saturation of absorption in Cu-doped CdSe QDs. The role of a strong electron-phonon interaction in the PL properties and nonlinear transmission of colloidal Cu-doped CdSe QDs is explained. The presence of biexciton PL exciton-phonon interaction and its strong influence on the basic exciton PL and non-linear properties of Cu-doped colloidal CdSe QDs are proved by the simultaneous linear growth of basic excitons PL, the growth of the Stokes shift and significant decrease of absorption at the basic exciton transition wavelength with the increase of pump intensity.