In patients with solid tumours or haematological malignancies, venous thromboembolism (VTE) is a leading cause of death and significantly contributes to morbidity and healthcare resource utilization. Current practice guidelines recommend long-term anticoagulation with low-molecular-weight heparin (LMWH) as the treatment of choice for cancer-associated VTE, based on clinical trial data showing an overall improved safety and efficacy profile of LMWH compared to vitamin K antagonists. However, several open questions remain, e. g. with regard to the intensity and duration of LMWH therapy; moreover, recent real-world evidence indicates that adherence to parenteral anticoagulation with LMWH over the course of treatment is poor in clinical practice. In this regard, the direct oral factor Xa or thrombin inhibitors (DOACs) have emerged as potential alternatives in the management of patients with cancer-associated VTE, albeit findings from randomized controlled studies with a direct head-to-head comparison of DOACs with LMWH, the current standard of care, are still lacking. Based on the case of a lymphoma patient experiencing symptomatic pulmonary embolism during immunochemotherapy, this article aims at both highlighting the current state-of-the-art approach to cancer-associated VTE and pointing out some of the unresolved, controversial issues clinicians have to face when taking care of haematology and oncology patients with already established or with high risk of developing VTE. These issues include the management of patients with incidental pulmonary embolism or thrombocytopenia, the use of DOACs, and the initiation of pharmacological thromboprophylaxis in non-surgical cancer patients.