The COVID-19 pandemic extended all around the world causing millions of deaths. In addition to acute respiratory distress syndrome, many patients with severe COVID-19 develop thromboembolic complications associated to multiorgan failure and death. Here, we review evidence for the contribution of neutrophils, platelets, and extracellular vesicles (EVs) to the thromboinflammatory process in COVID-19. We discuss how the immune system, influenced by pro-inflammatory molecules, EVs, and neutrophil extracellular traps (NETs), can be caught out in patients with severe outcomes. We highlight how the deficient regulation of the innate immune system favors platelet activation and induces a vicious cycle amplifying an immunothrombogenic environment associated with platelet/NET interactions. In light of these considerations, we discuss potential therapeutic strategies underlining the modulation of purinergic signaling as an interesting target.