The immunomodulatory drugs thalidomide and lenalidomide have enhanced activity in patients with multiple myeloma (MM). Their efficacy is increased with the addition of dexamethasone, but significant rates of venous thromboembolism (VTE) are a severe side effect. Based on this evidence, it is recommended that VTE prophylaxis be prescribed in these patients. However, the optimal prophylaxis remains controversial. We analyzed 45 patients with relapsed MM who were treated with lenalidomide and dexamethasone at our center. The 45 patients received a total number of 192 cycles, respectively a median of three cycles; the median dosage of dexamethasone was 240 mg per cycle. All patients received prophylactic anticoagulation with low molecular weight heparin (LMWH). Moreover, 86.6% of patients had at least one additional VTE risk factor beside the myeloma-related risk. One out of 45 patients developed a deep vein thrombosis and pulmonary embolism. None of the other 44 patients had clinical signs of thrombosis or embolism and none of all patients experienced complications or side effects due to anticoagulation. Our results indicate that prophylactic anticoagulation with LMWH is safe and effective. Therefore, we propose LMWH should be used in patients being treated with lenalidomide and dexamethasone at least for the first 3 months of treatment until randomized trials have proven the equality of other pharmacological prophylaxis.