Sepsis is triggered by infection-induced immune alteration and may be theoretically improved by pharmacological and extracorporeal immune modulating therapies. Pharmacological immune modulation may have long lasting clinical effects, that may even worsen patient-related outcomes. On the other hand, extracorporeal immune modulation allows short-term removal of inflammatory mediators from the bloodstream. Although such therapies have been widely used in clinical practice, the role of immune modulation in critically ill septic patients remains unclear and little evidence supports the role of immune modulation in this clinical context. Accordingly, further research should be carried out by an evidence-based and personalized approach in order to improve the management of critically ill septic patients.