Cold atmospheric plasma is an ionized gas produced near room temperature; it generates reactive oxygen species and nitrogen species and induces physical changes, including ultraviolet, radiation, thermal, and electromagnetic effects. Several studies showed that cold atmospheric plasma could effectively provoke death in a huge amount of cell types, including neoplastic cells, via the induction of apoptosis, necrosis, and autophagy. This technique seems able to destroy tumor cells by disturbing their more susceptible redox equilibrium with respect to normal cells, but it is also able to cause immunogenic cell death by enhancing the immune response, to decrease angiogenesis, and to provoke genetic and epigenetics mutations. Solutions activated by cold gas plasma represent a new modality for treatment of less easily reached tumors, or hematological malignancies. Our review reports on accepted knowledge of cold atmospheric plasma’s effect on hematological malignancies, such as acute and chronic myeloid leukemia and multiple myeloma. Although relevant progress was made toward understanding the underlying mechanisms concerning the efficacy of cold atmospheric plasma in hematological tumors, there is a need to determine both guidelines and safety limits that guarantee an absence of long-term side effects.