Autoimmune diseases are not infrequently associated with arterial or venous thrombotic events. Chronic inflammation and immune system impairment are considered the main pathogenetic mechanisms. Some of the drugs used in the treatment of such diseases have been associated with an increased risk of thrombosis. On the contrary, their anti-inflammatory and immune modulator activity could correct some mechanisms leading to thrombosis. In this review, recent evidence available on this topic is examined. There is a lack of adequate studies, but available evidence suggests that glucocorticoids and high-dose immunoglobulins are associated with an increased incidence of venous thromboembolism. Although available data do not allow drawing definite conclusions and more data are needed from future studies and registries, physicians should be aware of these associations.