Recent advances in immunology enabled the characterization of several signal transmitting pathways responsible for proper cytokine and chemokine signaling. Among them, Janus kinases (JAKs) are essential components of receptor activation systems. The discovery of JAK kinases enabled the synthesis of JAK kinase inhibitors (JAKi or Jakinibs), which have proven to be efficacious in the treatment of hematologic malignancies and several rheumatological disorders and continue to be investigated in many clinical indications. Blocking multiple cytokines belonging to several cytokine families with a single small molecule may, however, create a potential risk for the patients. Recently, a higher risk of thromboembolic complications, namely, deep vein thrombosis and pulmonary embolism, has been recognized as the main concern during treatment with Jakinibs. At present, it is not entirely clear whether this increased risk is related to direct cytokine blockade, the presence of concomitant diseases in treated patients or other unknown circumstances that work together to increase the risk of this side effect. In this review, we discuss data on the risk of thromboembolic side effects, with special emphasis on the mechanism that may be responsible for this increased risk. Many indirect data indicate that higher thromboembolic risk may be related to the specificity of JAK inhibitor action, such that preferentially blocking one signaling pathway upsets the balance between pro and anti-thrombotic activities.