The incidence of one-year venous thromboembolism (VTE) after cancer diagnosis is reported to be increasing for several types of cancer. The introduction of targeted anti-cancer therapies and immunotherapy into the therapeutic armamentarium of medical oncologists contributed to the significantly improved response rates and survival times of cancer patients. In recent years, a potential prothrombotic effect of several targeted anti-cancer agents and immunotherapy drugs has been suggested; however, the methodological limitations of clinical trials evaluating the possible role of these classes of drugs on the VTE risk often make the interpretation of their results difficult. It is still not clear whether the increased risk of VTE is more closely correlated to the expression of specific oncogenic profiles than to the administration of specific therapies against these mutations. Furthermore, the increased survival rates observed with these agents could influence the prevalence of VTE events in cancer patients by the competing risk mortality on the risk of VTE. To date, the available data have suggested that the risk of VTE varies among different categories of targeted therapy, being most reported for anti-vascular endothelial growth factor receptor (VEGFR), epidermal growth factor receptor (EGFR), monoclonal antibodies and immune checkpoint inhibitors, and less reported for tyrosine kinase inhibitors (TKI). The risk of VTE seems to significantly increase when targeted therapy is administered in combination with traditional anti-cancer agents. Considering the uncertainties in estimating the rate of thrombotic complications associated with targeted therapy, the need for antithrombotic prophylaxis in cancer patients receiving targeted therapies still needs to be specifically assessed. In this review, we examine available evidence of the literature and the methodological limitations of clinical trials, and we discuss the potential future perspectives.