Traditional cancer treatment approaches have focused on surgery, radiation therapy, and cytotoxic chemotherapy. However, with rare exceptions, metastatic cancers were considered to be incurable by traditional therapy. Over the past 20 years a fourth modality - immunotherapy - has emerged as a potentially curative approach for patients with advanced metastatic cancer. However, in many patients cancer "finds a way" to evade the anti-tumor effects of immunotherapy. Immunotherapy resistance mechanisms can be employed by both cancer cells and the non-cancer elements of tumor microenvironment. This review focuses on the resistance mechanisms that are specifically mediated by cancer cells. In order to extend the impact of immunotherapy to more patients and across all cancer types, and to inhibit the development of acquired resistance, the underlying biology driving immune escape needs to be better understood. Elucidating mechanisms of immune escape may shed light on new therapeutic targets, and lead to successful combination therapeutic strategies.