Venous thromboembolism (VTE) is a frequent complication of lung cancer and its treatment, especially in the advanced stages of disease. The risk of a pro-thrombotic state might increase through the activation of hemostasis, occurring both via the induction of a pro-coagulant activity and with platelet involvement, ultimately leading to the development of metastases. Despite the acknowledgement of an increased thrombophilic condition in cancer patients, and the experimental evidence that heparin compounds may have direct anticancer benefits, there is no univocal consent regarding VTE prevention in cancer outpatients receiving therapy. Thus, many authors highlighted the need for the development of stratification techniques to identify at-risk patients who might benefit from thromboprophylaxis. Clinical risk models were developed and validated, in order to assign high-risk patients to a proper thromboprophylaxis regimen that, however, might not be justified in all clusters. Besides, efforts have been devoted to identify candidate biomarkers that may be used in VTE risk assessment, although none has been recognized, so far, as a predictor for VTE in lung cancer patients. In this review, we will summarize the latest information concerning this very controversial topic, with focus on some of the proposed strategies to select the appropriate patients for prophylaxis.