The hemostatic system is characterized by a delicate balance between pro- and anticoagulant forces, and the smallest alteration can cause serious events such as hemorrhages or thrombosis. Although exercise has been shown to play a protective role in athletes, several factors may increase the risk of developing venous thromboembolism (VTE), including hemoconcentration induced by exertion, immobilization following sports injuries, frequent long-distance flights, dehydration, and the use of oral contraceptives in female athletes. Biomarkers such as D-dimer, Factor VIII, thrombin generation, inflammatory cytokines, and leukocyte count are involved in the diagnosis of deep vein thrombosis (DVT), although their interpretation is complex and may indicate the presence of other conditions such as infections, inflammation, and heart disease. Therefore, the identification of biomarkers with high sensitivity and specificity is needed for the screening and early diagnosis of thromboembolism. Recent evidence about the correlation between the intensity of physical activity and VTE is divergent, whereas the repeated gestures in sports such as baseball, hockey, volleyball, swimming, wrestling, or, on the other hand, soccer players, runners, and martial art training represent a risk factor predisposing to the onset of upper and lower DVT. Anticoagulant therapy is the gold standard, reducing the risk of serious complications such as pulmonary embolism. The aim of this review is to provide a general overview about the interplay between physical exercise and the risk of thromboembolism in athletes, focusing on the main causes of thrombosis in professional athletes and underlying the need to identify new markers and therapies that can represent a valid tool for safeguarding the athlete's health.