Increasing penetration of plug-in electric vehicles (PEVs) in the power system makes a need to consider the impact of PEVs on the transmission expansion planning (TEP) studies especially for large-scale PEV parking lots. Modelling of PEVs (as vehicle to grid (V2G)) is highly dependent on the owner's behaviour. In this study, a systematic method based on multi-state Markov model is utilised to represent the uncertainty of V2G's presence. To investigate the impact of PEVs, a probabilistic TEP in the presence of V2Gs (P_TEPV2G) is proposed. In the proposed TEP model, the objective function consists of the total line and risk costs (RCs). Moreover, the optimal place and capacity of PEV parking lots are considered as the decision variables. It is assumed that there is an electric vehicle fleet operator for the management of electric vehicles. Because P_TEPV2G is a complex and non-linear optimisation problem, an improved cuckoo search algorithm (ICS) is utilised to effectively solve the problem. On the IEEE 24-bus system, simulation results show that the availability of the PEVs at the proper bus leads to decreasing RC and deferring construction of new transmission lines.