Cancer is one of the most challenging diseases, the current treatment of malignant tumors has entered the era of immunotherapy. Immunotherapy has made great progress in the treatment of malignant tumors, but many patients have limited response to treatment. The search for new molecular biomarkers to evaluate the immunotherapy efficacy is particularly important. Liquid biopsy is a non-invasive method that has the advantage of providing real-time disease information to cancer patients. Extracellular vesicles (EVs), released by parental cells, contain important molecules associated with cell growth, proliferation and migration, which are regarded as the targets of liquid biopsy. In addition, EVs also participate in the information communication in tumor immune microenvironment, and are important molecular markers for monitoring the cancer immunotherapy efficacy. In this review, we summarize the challenges of conventional detection methods for EVs, and the advantages of nanotechnology detection of EVs. The important role of EVs in tumor immune microenvironment was discussed and the potential clinical significance of EVs in monitoring and predicting cancer immunotherapy response was summarized.