The risk of venous thromboembolism (VTE) and arterial thromboembolism (ATE) associated with immune checkpoint inhibitors is currently unclear. Our aim was to quantify the risk of VTE/ATE in patients with cancer treated with immune checkpoint inhibitors, explore clinical impact, and investigate potential clinical risk factors. Patients treated with immune checkpoint inhibitors at the Medical University of Vienna from 2015 to 2018 were identified using in-house pharmacy records (n = 672; most frequent entities: 30.4% melanoma, 24.1% non-small cell lung cancer; 86% stage IV disease). A retrospective chart review was performed to screen for VTE and/or ATE. Cumulative incidences and between-group differences were estimated in competing-risk analysis. The impact of VTE/ATE on mortality was studied by multistate modelling. Over a median follow-up of 8.5 months, 47 VTEs and 9 ATEs were observed. Cumulative incidences of VTE and ATE were 12.9% (95% confidence interval [CI], 8.2-18.5) and 1.8% (95% CI, 0.7-3.6). Occurrence of VTE was associated with increased mortality (transition hazard ratio, 3.09; 95% CI, 2.07-4.60). History of VTE predicted VTE occurrence (subdistribution hazard ratio [SHR], 3.69; 95% CI, 2.00-6.81), and distant metastasis was nonsignificantly associated with VTE risk (SHR, 1.71; 95% CI, 0.62-4.73). No association of VTE with Eastern Cooperative Oncology Group performance status, Charlson comorbidity index, or Khorana score was observed, and rates of VTE were comparable between tumor types and checkpoint-inhibitory agents. In conclusion, patients with cancer under immune checkpoint inhibitor therapy are at high risk of thromboembolism, especially VTE. Furthermore, VTE occurrence was associated with increased mortality.