As immune checkpoint inhibitors (ICI) emerge as a paradigm-shifting treatment option for patients with advanced or metastatic cancer, there is a growing demand for biomarkers that can distinguish which patients are likely to benefit. In the case of triple-negative breast cancer (TNBC), characterized by a lack of therapeutic targets, pembrolizumab approval for high-risk early-stage disease occurred regardless of PD-L1 status, which keeps the condition in a biomarker limbus. In this review, we highlight the participation of long non-coding RNAs (lncRNAs) in the regulation of the PD-1/PD-L1 pathway, as well as in the definition of prognostic immune-related signatures in many types of tumors, aiming to shed light on molecules that deserve further investigation for a potential role as biomarkers. We also conducted a bioinformatic analysis to investigate lncRNAs already investigated in PD-1/PDL-1 pathways in other cancer types, considering the TNBC molecular context. In this sense, from the generated data, we evidence here two lncRNAs, UCA1 and HCP5, which have not yet been identified in the context of the tumoral immune response in breast cancer. These candidates can be further explored to verify their use as biomarkers for ICI response. In this article, we present an updated review regarding the use of lncRNA as biomarkers of response to ICI, highlighting the versatility of using these molecules.