Anti-cancer treatment is considered an independent risk factor for emergent bleeding during anticoagulant treatment in patients with cancer-associated thrombosis. This increased bleeding risk is perceived as major concern particularly when tyrosine kinase inhibitors (TKIs) targeting the vascular endothelial derived growth factor receptor (VEGFR-TKIs) are co-administered with anticoagulants. We evaluated the effects of the combined administration of a VEGF-TKI and the oral direct anticoagulant (apixaban) or the low-molecular weight-heparin dalteparin in a sub-analysis of the Caravaggio study in patients with a diagnosis of cancer patients with venous thromboembolism. The rate of major bleeding was 4.2% in the 668 patients who received any type of anti-cancer treatment and 3.5% in the 487 patients who did not receive any anti-cancer treatment. The relative risk for patients treated with a VEGF-TKI was 1.58 (95% CI: 0.69–3.68), compared to patients treated with anticancer agents other than a VEGF-TKI and 1.73 (95% CI: 0.73–4.07) compared to patients who did not receive any anticancer treatment. The administration of a VGEF-TKI did not have any impact on the recurrence rate of venous thromboembolism. We observed a numerically not statistically significant increase in major bleeding events in patients on concurrent VEGF-TKI and therapeutic anticoagulation with no excess in those who received apixaban. Further prospective well-designed studies are needed to evaluate whether the concomitant administration of VGEF-TKI and anticoagulant agents may result in an increase of bleeding in patients with a diagnosis of cancer treated for venous thromboembolism.