Pancreatic ductal adenocarcinoma (PDAC) has still a dismal prognosis. Different factors such as mutational landscape, intra- and intertumoral heterogeneity, stroma, and immune cells impact carcinogenesis of PDAC associated with an immunosuppressive microenvironment. Different cell types with partly opposing roles contribute to this milieu. In recent years, immunotherapeutic approaches, including checkpoint inhibitors, were favored to treat cancers, albeit not every cancer entity exhibited benefits in a similar way. Indeed, immunotherapies rendered little success in pancreatic cancer. In this review, we describe the communication between the immune system and pancreatic cancer cells and propose some rationale why immunotherapies may fail in the context of pancreatic cancer. Moreover, we delineate putative strategies to sensitize PDAC towards immunological therapeutics and highlight the potential of targeting neoantigens.