The host immune response involves a variety of cell types, including specialized immune and non-immune cells. The delicate coordination among these cells via close communication is central for the proper operation of immune system. Cell-cell communication is mediated by a complex network that includes soluble factors such as cytokines, chemokines, and metabolites exported from cells, as well as membrane-bound receptors and their ligands. Cell-cell communication is also mediated by membrane vesicles (e.g., exosomes, ectosomes), which are either shed by distant cells or exchanged by cells that are making direct contact. Intercellular communication via extracellular membrane vesicles has drawn much attention recently, as they have been shown to carry various biomolecules that modulate the activities of recipient cells. In this review, I will discuss current views on cell-cell communication via extra-cellular membrane vesicles, especially shedded membrane vesicles, and their effects on the control of the immune system.