Heart failure (HF) patients frequently present with comorbidities such as atrial fibrillation (AF) or other cardiovascular conditions, elevating their risk of thromboembolic events. Consequently, anticoagulation therapy is often considered for thromboprophylaxis, although its initiation in HF patients is complicated by concomitant bleeding risk factors. This review explores the paradoxical relationship between HF, increased bleeding risk, and the potential benefits of anticoagulation. Through an examination of existing evidence from clinical trials, observational studies, and meta-analyses, we aim to elucidate the role of anticoagulation in HF patients with increased bleeding risk. Despite guidelines recommending anticoagulation for certain HF patients with AF or other thromboembolic risk factors, uncertainty persists regarding the optimal management strategy for those at heightened risk of bleeding. The review discusses the pathophysiological mechanisms linking HF and thrombosis, challenges in bleeding risk assessment, and strategies to minimize bleeding risk while optimizing thromboprophylaxis. Shared decision-making between clinicians and patients is emphasized as essential for individualized treatment plans that balance the potential benefits of anticoagulation against the risk of bleeding complications. Furthermore, it examines emerging anticoagulant agents and their potential role in HF management, highlighting the need for further research to delineate optimal management strategies and inform evidence-based practice. In conclusion, while anticoagulation holds promise for improving outcomes in HF patients, careful consideration of patient-specific factors and ongoing research efforts are essential to optimize therapeutic strategies in this population.