Venous thromboembolism is common in patients with cancer. However, no management guidelines exist for venous thromboembolism specific to patients with advanced progressive cancer. To help develop recommendations for practice, we have done a comprehensive review of anticoagulation treatment in patients with cancer, with particular focus on studies that included patients with advanced disease. Data from 19 publications, including randomised, prospective, and retrospective studies suggest that: long-term full-dose low-molecular-weight heparin (LMWH) is more effective than warfarin in the secondary prophylaxis of venous thromboembolism in patients with cancer of any stage, performance status, or prognosis; warfarin should not be used in patients with advancing progressive disease; and in patients at high risk of bleeding, full-dose LMWH for 7 days followed by a long-term decreased fixed dose long term can be considered. The optimum treatment duration is unclear, but because the prothrombotic tendency will persist in patients with advanced cancer, indefinite treatment is generally recommended. For patients with contraindications to anticoagulation, inferior-vena-caval filters can be considered, but their use needs careful patient selection. Ultimately, the decision to initiate, continue, and stop anticoagulation will need to be made on an individual basis, guided by the available evidence, the patient’s circumstances, and their informed preferences.