Immune checkpoint inhibitors (ICIs) target programmed cell death (PD) 1 receptor and its ligand PD-L1, and have become an integral part of treatment regimens in many cancers including lung cancer, renal cell carcinoma, melanoma, and more. Cancer is associated with a significantly increased risk of venous thromboembolism compared to non-cancer patients, and the risks increase further with anticancer therapies including ICIs. Cancer-associated thrombosis can lead to hospitalizations, delayed cancer treatment, and mortality. While thrombosis was not reported as a major complication in initial clinical trials leading to the approval of ICIs, emerging evidence from post-marketing studies revealed concerning risks of thrombosis in patients receiving ICIs. However, results remained heterogenous given differences in study designs and populations. Recent studies also showed that C-reactive protein dynamics might be an easily accessible biomarker for thrombosis and disease response in this population. In addition, early findings indicated that a commonly used anticoagulant for cancer-associated thrombosis, factor Xa inhibitors, might have potential synergistic antitumor effects when combined with ICIs. Herein we will review the current literature on the incidence, risk factors, and management of thrombosis in patients with cancer receiving ICIs. We aim to provide valuable information for clinicians in managing these patients.