The COVID-19 pandemic has had a devastating impact on a global scale, causing significant morbidity and mortality. The virus affects multiple organ systems, including the respiratory, cardiovascular, and coagulation systems, leading to severe pneumonia in some patients. Moreover, COVID-19 patients with severe pneumonia have a high incidence of thrombotic events, which can result in significant morbidity and mortality. Given the potential benefits of anticoagulation therapy in COVID-19 patients with thrombotic complications, recent studies have proposed high-dose prophylactic anticoagulation (HD-PA) therapy as a potential treatment option. In fact, some studies have suggested that HD-PA therapy may be more effective in reducing thrombotic events and mortality rates than other treatment options. This review aims to provide a comprehensive overview of the benefits and risks of HD-PA therapy for COVID-19 pneumonia patients. By synthesizing and analyzing the latest available research, we highlight patient selection criteria and discuss the optimal dosage, duration, and timing of therapy. Additionally, we review the potential risks associated with HD-PA therapy and provide recommendations for clinical practice. Ultimately, this review provides valuable insights into the use of HD-PA therapy in COVID-19 pneumonia patients and paves the way for further research in this critical area. By exploring the benefits and risks of this treatment option, we hope to provide healthcare professionals with the information they need to make informed decisions about the best course of treatment for their patients.