Cell–cell communication is an important mechanism in biological processes. Extracellular vesicles (EVs), also referred to as exosomes, microvesicles, and prostasomes, are microvesicles secreted by a variety of cells. EVs are nanometer-scale vesicles composed of a lipid bilayer and contain biological functional molecules, such as microRNAs (miRNAs), mRNAs, and proteins. In this review, “EVs” is used as a comprehensive term for vesicles that are secreted from cells. EV research has been developing over the last four decades. Many studies have suggested that EVs play a crucial role in cell–cell communication. Importantly, EVs contribute to cancer malignancy mechanisms such as carcinogenesis, proliferation, angiogenesis, metastasis, and escape from the immune system. EVs derived from cancer cells and their microenvironments are diverse, change in nature depending on the condition. As EVs are thought to be secreted into body fluids, they have the potential to serve as diagnostic markers for liquid biopsy. In addition, cells can encapsulate functional molecules in EVs. Hence, the characteristics of EVs make them suitable for use in drug delivery systems and novel cancer treatments. In this review, the potential of EVs as anti-cancer therapeutics is discussed.