First order quantum phase transitions (1QPTs) are signalled, in the thermodynamic limit, by discontinuous changes in the ground state properties. These discontinuities affect expectation values of observables, including spatial correlations. When a 1QPT is crossed in the vicinity of a second order one, due to the correlation length divergence of the latter, the corresponding ground state is modified and it becomes increasingly difficult to determine the order of the transition when the size of the system is finite. Here we show that, in such situations, it is possible to apply finite size scaling (FSS) to entanglement measures, as it has recently been done for the order parameters and the energy gap, in order to recover the correct thermodynamic limit (Campostrini et al 2014 Phys. Rev. Lett. 113 070402). Such a FSS can unambiguously discriminate between first and second order phase transitions in the vicinity of multicritical points even when the singularities displayed by entanglement measures lead to controversial results.