The power of immunotherapy in the battle of Multiple Myeloma (MM) started with allogeneic stem cell transplantation, and was rediscovered with immunomodulatory drugs and extended with the outstanding results achieved with targeted antibodies. Today, next to powerful antibodies Elotuzumab and Daratumumab, several T-cell-based immunotherapeutic approaches, such as bispecific antibodies and chimeric antigen receptor-transduced T-cells (CAR T-cells) are making their successful entry in the immunotherapy arena with highly promising results in clinical trials. Nonetheless, similar to what is observed in chemotherapy, MM appears capable to escape from immunotherapy, especially through tight interactions with the cells of the bone marrow microenvironment (BM-ME). This review will outline our current understanding on how BM-ME protects MM-cells from immunotherapy through immunosuppression and through induction of intrinsic resistance against cytotoxic effector mechanisms of T- and NK-cells.