The communication between tumor cells and the microenvironment plays a fundamental role in the development, growth and further immune escape of the tumor. This communication is partially regulated by extracellular vesicles which can direct the behavior of surrounding cells. In recent years, it has been proposed that this feature could be applied as a potential treatment against cancer, since several studies have shown that tumors treated with radiotherapy can elicit a strong enough immune response to eliminate distant metastasis; this phenomenon is called the abscopal effect. The mechanism behind this effect may include the release of extracellular vesicles loaded with damage-associated molecular patterns and tumor-derived antigens which activates an antigen-specific immune response. This review will focus on the recent discoveries in cancer cell communications via extracellular vesicles and their implication in tumor development, as well as their potential use as an immunotherapeutic treatment against cancer.