Critically ill patients with acute renal failure, and especially those with sepsis, may have increased coagulation changes as well as a high incidence of hemorrhagic complications. Thus, in this clinical condition, the use of renal replacement therapies (RRT) can be frequently complicated both by high rates of extracorporeal circuit coagulation, resulting in a reduced treatment efficacy, and by increased incidence of bleeding. Heparin is the most commonly used RRT anticoagulant, even if several alternative options have been proposed, aiming at obtaining regional anticoagulation (i.e., limited to the extracorporeal circuit). This review analyses modern strategies for RRT anticoagulation and evaluates safety and efficacy parameters of each method. In this regard, no definite recommendations can be made based on the available evidence further randomised controlled trials are needed in this field, with a clear endpoint definition.