COVID-19 is associated with pulmonary thromboembolism and deep venous thrombosis. Its prevalence increases in the intensive care unit and is especially high in patients on extracorporeal membrane oxygenation (ECMO). This literature review aimed to assess the usefulness of screening for peripheral venous thrombosis or pulmonary thrombosis in patients admitted with COVID-19. In the non-ICU setting, increased D-dimer levels from baseline indicate the need for Doppler ultrasound scan of the lower limbs. In the ICU setting, clinical features and D-dimer levels may not accurately reflect the occurrence of pulmonary thromboembolism. Therefore, it is necessary to increase vigilance for VTE, with a low threshold for Doppler ultrasound and CTPA in high-risk in-patient cohorts.