We use the technique of electromagnetically induced transparency (EIT) to probe the effect of attractive dipole-dipole interactions in a highly excited Rydberg gas. The transient character of the EIT response is investigated by rapidly scanning the probe laser through resonance. We characterize the resulting cooperative optical non-linearity as a function of probe strength, density and scan direction. For the 58D5/2 Rydberg state, an atom density of 1.6 × 1010cm−3 and a positive frequency scan we measure a third-order non-linearity of χ(3) = 5 × 10−7 m2V−2. For the reverse scan we observe a second order non-linearity of χ(2) = 5 × 10−6 mV−1. The contrasting behaviour can be explained in terms of motional effects and resonant excitation of Rydberg pairs.