The incidence of cancer-associated thrombosis has increased in recent years. While the association between venous thromboembolism (VTE) and chemotherapy is well established, there is no clear link between immune checkpoint inhibitors (ICIs) and VTE risk. Many risk assessment models (RAMs) have been developed to identify high-risk patients who need prophylaxis. However, these models are validated in patients undergoing chemotherapy, while they are scarce in those receiving immunotherapy. Moreover, the mechanisms linking ICIs to thrombosis are still a matter of debate. They include the upregulation of pro-inflammatory intracellular pathways, the release of cytokines, the activation of innate immune cells, the release of tissue factors and platelet activation, and the increase in adhesion molecules, thus resulting in the recruitment of agents involved in coagulation. Promising biomarkers are emerging to identify patients undergoing ICIs who are at high risk of developing VTE and need prophylaxis. In this review we investigate the possible causation between cancer-associated thrombosis (CAT) and immunotherapy and the underlying pathophysiological mechanisms. Thus, we suggest the most appropriate therapeutic approaches based on currently available data.