Heart failure (HF) and venous thromboembolism (VTE) are common clinical entities, closely interrelated, sharing multiple pathophysiological mechanisms. Their co-incidence is associated with further worsening of the prognosis of one another. Despite their frequent co-existence, important clinical questions still remain unanswered. The risk of VTE especially in chronic HF patients appears to vary widely in clinical studies, while the VTE-associated risk in HF patients is still not well determined and cannot be accurately predicted. Although scientific guidelines recommend venous thromboprophylaxis in patients hospitalized with an acute HF syndrome, venous thromboprophylaxis has not been studied adequately in prospective trials in ambulatory HF patients. In the present review, we aimed to summarize the current knowledge on the epidemiology of VTE and HF, the risk prediction for VTE occurrence in HF patients, the impact on patient outcome, and the need for anticoagulation in certain HF subgroups to improve prognosis, while we sought to identify gaps in knowledge that need to be addressed in the future.