Many advances in local and systemic therapies have noticeably improved outcomes in breast cancer in women. However, early and late relapses continue to occur. Thus, novel therapeutic approaches are necessary. An understanding of the mechanisms of immune escape employed by tumour cells and the ability to regulate immune checkpoints with immunomodulatory monoclonal antibodies will provide very promising clinical results in different tumour types. In this review, we specify the rationale for targeting immune checkpoints in breast cancer and discuss their prospective use for the design of novel clinical trials.