Malignancy has long been implicated with hypercoagulability, leading to an increased rate of both venous and arterial thromboembolism (VTE and ATE). Immunotherapy has established itself as a cornerstone of modern cancer therapy by promoting antitumor immune responses, though there have been some suggestions that immune-related adverse events could include increased rates of VTE and ATE. In this review, we examine the available evidence regarding the use of immune checkpoint inhibitors (ICIs) and thrombosis. First, we describe the potential mechanisms by which ICIs might lead to thrombophilia given the overlap between the immune system, coagulation cascade, and platelet adhesion and activation. In addition, while there is some preclinical data evaluating immunotherapy associated ATEs in animal models, there is a paucity of evidence exploring potential mechanism of VTEs in ICIs. Second, we review the incidence of ATE and VTE in patients receiving ICIs in the published literature. Finally, we discuss current limitations in understanding, areas of conflicting evidence, and approaches to further investigation.