Immune checkpoint inhibitors (ICIs) have revolutionized the management of cancers. The risk factors and pathophysiological mechanisms of venous thromboembolic events (VTEs) of this new therapeutic class are still to be specified. The included patients had to have cancer and should be treated with ICI. Data analyzed included demographic data, biological data, and immune-related adverse events (IRAEs). We studied the prevalence of VTEs and the factors associated with VTEs. Of 374 patients on ICI, over a median follow-up period of 15.2 months, the number of VTE was 50 (13.4%). The majority of patients were treated for metastatic melanoma or nonsmall cell lung cancer. There was no difference in prevalence or survival between cancer types. Patients with combined therapy composed of nivolumab and ipilimumab had higher 1-year cumulative VTE occurrence (29.3% [95% confidence interval [CI]: 9.7; 44.6]) than patients with pembrolizumab (14.9%, [95%CI: 2.5; 25.8], p = 0.03) or nivolumab (9.1%, [95% CI: 5.0; 12.9], p < 0.01). The presence of IRAE was associated with a higher risk of VTE occurrence compared with patients without any IRAE (1-year VTE cumulative incidence: 17.42% [95% CI: 9.5; 24.65] vs. 9.46% [95% CI: 5.18; 13.55], p = 0.04). There was a higher risk of VTE in patients treated with the combination of nivolumab and ipilimumab (adjusted subdistribution hazard ratio [SHR]: 3.71 [95% CI: 1.74; 7.90], p < 0.001) and in patients with IRAE (adjusted SHR: 2.14 [95% CI: 1.22; 3.75], p < 0.01). The prevalence of VTE was 14.2% under ICIs. IRAE and combine treatment of nivolumab and ipilimumab were associated with VTE. The pathophysiological mechanisms are multiple and complex with a possible link to aberrant activation of the immune system.