There have been many attempts to fully understand the mechanism of cancer behavior. Yet, how cancers develop and metastasize still remain elusive. Emerging concepts of cancer biology in recent years have focused on the communication of cancer with its microenvironment, since cancer cannot grow and live alone. Cancer needs to communicate with other cells for survival, and thus they secrete various messengers, including exosomes that contain many proteins, miRNAs, mRNAs, etc., for construction of the tumor microenvironment. Moreover, these intercellular communications between cancer and its microenvironment, including stromal cells or distant cells, can promote tumor growth, metastasis, and escape from immune surveillance. In this review, we summarized the role of proteins in the exosome as communicators between cancer and its microenvironment. Consequently, we present cancer specific exosome proteins and their unique roles in the interaction between cancer and its microenvironment. Clinically, these exosomes might provide useful biomarkers for cancer diagnosis and therapeutic tools for cancer treatment.