Acute exacerbations of chronic obstructive pulmonary disease (COPD) are important events in the natural course of COPD, as they increase morbidity and mortality. Acute pulmonary embolism may mimic the symptoms of COPD exacerbations. However, the exact prevalence of pulmonary embolism in unexplained exacerbations of COPD is unclear based on the current data. This review provides a practical approach to patients with COPD complaining of worsening respiratory symptoms. A randomized clinical trial has shown that a routine pulmonary embolism diagnostic work-up does not improve care of patients with acute exacerbations of COPD. However, review of the recent literature suggests that a nonnegligible proportion of otherwise unexplained exacerbations of COPD may be caused by pulmonary embolism. To date, nevertheless, there are limited studies developing and validating clinical models that might aid in the identification of patients requiring additional tests for the diagnosis of pulmonary embolism. Until new evidence becomes available, we believe that a routine diagnostic strategy for pulmonary embolism is not appropriate for patients with acute exacerbations of COPD. Recommendations for routine pulmonary embolism diagnostic work-up necessitate further development of prognostic models and conduct of clinical trials that assess important health outcomes.