Extracellular vesicles released by tumor cells (T-EVs) are known to contain danger-associated molecular patterns (DAMPs), which are released in response to cellular stress to alert the immune system to the dangerous cell. Part of this defense mechanism is the heat shock protein 70 (HSP70), and HSP70-positive T-EVs are known to trigger anti-tumor immune responses. Moreover, extracellular HSP70 acts as an immunogen that contributes to the cross-presentation of major histocompatibility complex (MHC) class I molecules. However, the release of DAMPs, including HSP70, may also induce chronic inflammation or suppress immune cell activity, promoting tumor growth. Here, we summarize the current knowledge on soluble, membrane-bound, and EV-associated HSP70 regarding their functions in regulating tumor-associated immune cells in the tumor microenvironment. The molecular mechanisms involved in the translocation of HSP70 to the plasma membrane of tumor cells and its release via exosomes or soluble proteins are summarized. Furthermore, perspectives for immunotherapies aimed to target HSP70 and its receptors for cancer treatment are discussed and presented.