Development of effective strategies to mobilize the immune system as a therapeutic modality in cancer necessitates a better understanding of the contribution of the tumor microenvironment to the complex interplay between cancer cells and the immune response. Recently, effort has been directed at unraveling the functional role of exosomes and their cargo of messengers in this interplay. Exosomes are small vesicles (30-200 nm) that mediate local and long-range communication through the horizontal transfer of information, such as combinations of proteins, mRNAs and microRNAs. Here, we develop a tractable theoretical framework to study the putative role of exosome-mediated cell-cell communication in the cancer-immunity interplay. We reduce the complex interplay into a generic model whose three components are cancer cells, dendritic cells (consisting of precursor, immature, and mature types), and killer cells (consisting of cytotoxic T cells, helper T cells, effector B cells, and natural killer cells). The framework also incorporates the effects of exosome exchange on enhancement/reduction of cell maturation, proliferation, apoptosis, immune recognition, and activation/ inhibition. We reveal tristability-