The COVID-19 pandemic and the limited therapeutic arsenal available strain daily clinical practice. Guidelines have recently recommended routine anticoagulation of hospitalized COVID-19 patients. However, apart from the expert panels’ experience, the provenance of this recommendation is not clear, due to the scarce published evidence. We provide a narrative review with the objective of unraveling the rationale for this practice. First, we analyze the biochemical, histopathological and clinical evidence for a pro-thrombotic profile in COVID-19 patients. Then, we present the clinical data from previous studies and discuss to what extent they aid in clinical decision-making. We conclude that, in the absence of randomized controlled trials, which are of utmost importance, prophylactic-dose anticoagulation should be offered to critically ill patients hospitalized for COVID-19 pneumonia, particularly those with high d-dimer levels, since they are the population most likely to benefit from it.