A better knowledge of the complex interactions between cancer cells and the immune system has led to novel immunotherapy approaches. Treatment with selective anti-PD1, anti-PD-L1 and/or anti-CTLA-4 monoclonal antibodies (mAbs) has been a revolution in the therapeutic scenario of several cancer types, with the highest clinical efficacy in melanoma and in lung cancer. Colorectal cancer is one of the tumours in which immunotherapy has been shown less effective. Whereas in deficient mismatch repair (MMR) or in highly microsatellite instable (MSI-H) metastatic colorectal cancer there is clear clinical evidence for a therapeutic role of immune checkpoint inhibitors, the vast majority of patients with proficient MMR or with microsatellite stable (MSS) tumours do not benefit from immunotherapy. Defining the molecular mechanisms for immunogenicity in metastatic colorectal cancer is needed in order to develop predictive biomarkers and effective therapeutic combination strategies. A major challenge will be to identify, among the heterogeneous spectrum of this disease, those patients with specific tumour and tumour infiltrating stroma molecular and functional characteristics, that could be effectively treated with immunotherapy. In this review, we discuss the role of immune response in the context of metastatic colorectal cancer. We summarize the available clinical data with the use of anti PD-1/PD-L1 mAbs as single agents or in combination with anti CTLA-4 mAbs in MSI-H patients. Finally, we address the challenges and the potential strategies for rendering the more frequent microsatellite stable (MSS) tumours "immune-competent" and, therefore, amenable for effective immunotherapy interventions.