Heart failure (HF) is considered one of a leading cause of cardiovascular morbidity and mortality worldwide. The association between HF and venous thromboembolism (VTE) has been reported in several studies owing to many physiological and thromboembolic risk factors. Thus, the need for extended thromboprophylaxis during the post-discharge period in HF patients has been evaluated. Most guidelines do not recommend extended thromboprophylaxis because of its uncertain benefits and increased risk of bleeding. However, recent evidence in HF patients revealed no increased risk of bleeding with extended thromboprophylaxis, which highlights the importance of identifying ideal candidates who might benefit from extended thromboprophylaxis. Several risk assessment models (RAMs) have been developed to identify patients at a high risk of VTE who would benefit from in-hospital and post-discharge prophylactic anticoagulation therapy based on the risk–benefit principle. However, their accuracy in predicting VTE is questionable, and none have a standardized approach for evaluating the risk of VTE in HF patients. In this review, we provided an overview of the incidence and pathophysiology of VTE in HF patients, a summary of guideline recommendations for VTE prevention, and a summary of studies evaluating the use of extended thromboprophylaxis, with a focus on subgroup or post-hoc analyses of HF patients. We also discussed the need to design an ideal RAM that can identify candidate patients for extended thromboprophylaxis by stratifying the risk of VTE and identifying the key risk factors for bleeding in medically ill patients, including those with HF.