It remains unclear if immune checkpoint inhibitor (ICI) therapy is associated with higher rate of venous thromboembolism (VTE) compared with cytotoxic chemotherapy (chemo) in patients with comparable cancer type, staging, and comorbidities. Using the national Veterans Affairs healthcare system database from 2016 to 2021, we performed a propensity score (PS)‐weighted retrospective cohort study to compare the incidence of VTE in patients with selected stage III/IV cancer receiving first‐line ICI versus chemo. The PS model utilized overlap weights to balance age, sex, race, treatment year, VTE history, paralysis/immobilization, prolonged hospitalization, cancer type, staging, time between diagnosis and treatment, and National Cancer Institute comorbidity index. Weighted Cox regressions with robust standard error were used to assess the hazard ratio (HR) and 95% confidence interval (CI). We found that among comparable advanced cancers, first‐line ICI (n = 1823) and first‐line chemo (n = 6345) had similar rates of VTE (8.49% for ICI and 8.36% for chemo at 6 months). The weighted HR was 1.06 (95% CI 0.88–1.26) for ICI versus chemo. In a subgroup analysis restricted to lung cancers, first‐line ICI/chemo (n = 828), ICI monotherapy (n = 428), and chemo monotherapy (n = 4371) had similar rates of VTE (9.60% for ICI/chemo, 10.04% for ICI, and 8.91% for chemo at 6 months). The weighted HR was 1.05 (95% CI 0.77–1.42) for ICI versus chemo, and 1.08 (95% CI 0.83–1.42) for ICI/chemo versus chemo. In conclusion, ICI as a systemic therapy has a similarly elevated risk as cytotoxic chemo for VTE occurrence in cancer patients. This finding can inform future prospective studies exploring thromboprophylaxis strategies.