The Khorana score is recommended for guiding primary venous thromboembolism prophylaxis in cancer patients, but its clinical utility overall and across cancer types remains debatable. Also, some previous validation studies have ignored competing risk of death, hereby potentially overestimating venous thromboembolism risk. We identified ambulatory cancer patients initiating chemotherapy without other indications for anticoagulation using Danish health registries and estimated six-month cumulative incidence of venous thromboembolism stratified by Khorana levels. Analyses were conducted with and without considering death as competing risk using the Kaplan-Meier method versus the cumulative incidence function. Analyses were performed overall and stratified by cancer types. Of 40,218 patients, 35.4% were categorized by Khorana as low risk (score 0), 53.6% as intermediate risk (score 1-2) and 10.9% as high risk (score ≥3). Considering competing risk of death, the corresponding six-month risks of venous thromboembolism were 1.5% (95% CI 1.3-1-7), 2.8% (95% CI 2.6-3.1), and 4.1% (95% CI 3.5-4.7), respectively. Among patients recommended anticoagulation by guidelines (Khorana score ≥2), six-month risk was 3.6% (95% CI 3.3-3.9). Kaplan-Meier analysis overestimated incidence up to 23% compared with competing risk analyses. Using the guideline-recommended threshold of ≥2, the Khorana score did not risk stratify patients with hepatobiliary or pancreatic cancer, lung cancer, and gynecologic cancer. In conclusion, the Khorana score was able to stratify ambulatory cancer patients according to risk of venous thromboembolism, but not for all cancer types. Absolute risks varied by methodology but were lower than in key randomized trials. Thus, although certain limitations with outcome identification using administrative registries apply, the absolute benefit of implementing routine primary thromboprophylaxis in an unselected cancer population may be smaller than seen in randomized trials.