By means of degenerate four-wave mixing (FWM), we investigate the quantum coherence of electron-hole pairs in the presence of a two-dimensional electron gas in modulation-doped GaAs-AlGaAs quantum wells in the quantum Hall effect regime. With increasing magnetic field, we observe a crossover from Markovian to non-Markovian behavior, as well as large jumps in the decay time of the FWM signal at even Landau level filling factors. The main observations can be qualitatively reproduced by a model which takes into account scattering by the collective excitations of the two-dimensional electron gas.