Patients with malignant brain tumors and deep venous thrombosis (DVT) of the lower extremities are at high risk of developing pulmonary embolism (PE). We developed a Markov model to compare the cost-effectiveness of two strategies to prevent PE in such patients: intra-vena-caval bird's nest filter (BNF) with anticoagulation versus anticoagulation alone. Using the benchmark of 50,000 US dollars per quality-adjusted life year (QALY), BNF was not cost-effective in this population as it reduced the rate of PE at an incremental cost-effectiveness ratio of 198,852 dollars per QALY gained. However, after adjusting the model to reflect the 5-year mortality rate of hypothetical breast cancer patients, BNF was more effective and less expensive than anticoagulation alone. BNF was effective in reducing the rate of PE but was not cost-effective for patients with brain tumors. BNF could be cost-effective for patients with longer life expectancies.