Liquid biopsy (LB), as a minimally invasive method of gleaning insight into the dynamics of diseases through a patient fluid sample, represents an interesting tool that can advise in disease monitoring, treatment selection, early diagnosis, evaluation of the response, and prognosis. Cancer immunotherapy is a breakthrough in cancer treatment, which is now recognized as the "fourth pillar" of cancer treatment, after surgery, chemotherapy, and radiotherapy. Liquid biopsy offers a different befalling for beneath invasive diagnosis, real-time accommodating monitoring, and analysis options, involving the isolation of circulating biomarkers, such as cell-free DNA (cfDNA), circulating tumor cells (CTCs), exosomes, and microRNAs (miRNAs). The biomarkers herein have great potential to allow the realization of liquid biopsy for predicting the immunotherapy response and precision medicine. Liquid biopsy offers an alternative, less invasive approach to select cancer patients who would benefit from immunotherapy and to monitor patients during their disease course. This review focuses on the use of liquid biopsy in the immunotherapy treatment of patients with cancer. In this review, we addressed the different promising liquid biopsy-based biomarkers in cancer patients that enable the selection of patients who benefit from immunotherapy and the monitoring of patients during this therapy.