Interest in the use of mechanical circulatory support for patients presenting with cardiogenic shock is growing rapidly. The Impella (Abiomed Inc), a microaxial, continuous-flow, short-term, ventricular assist device (VAD), requires meticulous postimplantation management. Because systemic anticoagulation is needed to prevent pump thrombosis, patients are exposed to increased bleeding risk, further aggravated by sepsis, thrombocytopenia, and high shear stress–induced acquired von Willebrand syndrome. The precarious balance between bleeding and thrombosis in percutaneous VAD–supported cardiogenic shock patients is often the main reason that patient outcomes are jeopardized, and there is a lack of data addressing optimal anticoagulation management strategies during percutaneous VAD support. Here, we present a parallel anti-Factor Xa/activated partial thromboplastin time-guided anticoagulation algorithm and discuss pitfalls of heparin monitoring in critically ill patients. This review will guide physicians toward a more standardized (anti)coagulation approach to tackle device-related morbidity and mortality in this critically ill patient group.