Blood cancers are a heterogeneous group of disorders including leukemia, multiple myeloma, and lymphoma. They may derive from the clonal evolution of the hemopoietic stem cell compartment or from the transformation of progenitors with immune potential. Extracellular vesicles (EVs) are membrane-bound nanovesicles which are released by cells into body fluids with a role in intercellular communication in physiology and pathology, including cancer. EV cargos are enriched in nucleic acids, proteins, and lipids, and these molecules can be delivered to target cells to influence their biological properties and modify surrounding or distant targets. In this review, we will describe the “smart strategy” on how blood cancer-derived EVs modulate tumor cell development and maintenance. Moreover, we will also depict the function of microenvironment-derived EVs in blood cancers and discuss how the interplay between tumor and microenvironment affects blood cancer cell growth and spreading, immune response, angiogenesis, thrombogenicity, and drug resistance. The potential of EVs as non-invasive biomarkers will be also discussed. Lastly, we discuss the clinical application viewpoint of EVs in blood cancers. Overall, blood cancers apply a ‘vesicular intelligence’ strategy to spread signals over their microenvironment, promoting the development and/or maintenance of the malignant clone.