There is uncertainty about risk heterogeneity for venous thromboembolism (VTE) in older patients with advanced cancer and whether patients can be stratified according to VTE risk. We performed a retrospective cohort study of the linked Medicare-Surveillance, Epidemiology, and End Results cancer registry in older patients with advanced cancer of lung, breast, colon, prostate, or pancreas diagnosed between 1995–1999. We used survival analysis with demographics, comorbidities, and tumor characteristics/treatment as independent variables. Outcome was VTE diagnosed at least one month after cancer diagnosis. VTE rate was highest in the first year (3.4%). Compared to prostate cancer (1.4 VTEs/100 person-years), there was marked variability in VTE risk (hazard ratio (HR) for male-colon cancer 3.73 (95% CI 2.1–6.62), female-colon cancer HR 6.6 (3.83–11.38), up to female-pancreas cancer HR 21.57 (12.21–38.09). Stage IV cancer and chemotherapy resulted in higher risk (HRs 1.75 (1.44–2.12) and 1.31 (1.0–1.57), resp.). Stratifying the cohort by cancer type and stage using recursive partitioning analysis yielded five groups of VTE rates (nonlocalized prostate cancer 1.4 VTEs/100 person-years, to nonlocalized pancreatic cancer 17.4 VTEs/100 patient-years). In a high-risk population with advanced cancer, substantial variability in VTE risk exists, with notable differences according to cancer type and stage.