Over the past decades, immunotherapy has significantly improved the overall survival of multiple myeloma (MM) patients. In addition to immunomodulatory drugs and targeted antibodies that are currently standard of care, novel promising immunotherapeutic approaches, such as bispecific antibodies and chimeric antigen receptor-transduced T-cells (CAR T-cells) are being increasingly tested in clinical trials. Nonetheless, similar to what has been seen in chemotherapy, MM is also capable of developing resistance against immunotherapy. Direct and indirect interactions between MM and the MM bone marrow microenvironment (BM-ME) enable MM-cells to escape not only from chemotherapy but also from immunotherapy. This review will discuss how BM-ME enables MM-cells to evade the immune system and immunotherapy via immunosuppression and via induction of genuine resistance against cytotoxic mechanisms of immune killer cells.