Even after the improvements made in recent years in early diagnosis and treatments, breast cancer is still the most common cancer and the leading cause of cancer death in women around the world. Several attempts to design new alternative therapies like immunotherapy have been evaluated in clinical trials, but they have shown limited efficacy. The failure of immunotherapy may be related to suppressive mechanisms in the tumor environment. Consequently, the development of new immunotherapy based treatment strategies is very important to understand the immunoregulatory mechanisms present in the tumor microenvironment. Some of the immunoregulatory mechanisms described in breast cancer will be discussed in this review.