Allergic diseases represent a global health and economic burden of increasing significance. The lack of disease-modifying therapies besides specific allergen immunotherapy (AIT) which is not available for all types of allergies, necessitates the study of novel therapeutic approaches. Exosomes are small endosome-derived vesicles delivering cargo between cells and thus allowing inter-cellular communication. Since immune cells make use of exosomes to boost, deviate, or suppress immune responses, exosomes are intriguing candidates for immunotherapy. Here, we review the role of exosomes in allergic sensitization and inflammation, and we discuss the mechanisms by which exosomes could potentially be used in immunotherapeutic approaches for the treatment of allergic diseases. We propose the following approaches: (a) Mast cell-derived exosomes expressing IgE receptor FcεRI could absorb IgE and down-regulate systemic IgE levels. (b) Tolerogenic exosomes could suppress allergic immune responses via induction of regulatory T cells. (c) Exosomes could promote TH1-like responses towards an allergen. (d) Exosomes could modulate IgE-facilitated antigen presentation.