Wegener granulomatosis classically involves the renal, respiratory, and ear, nose, and throat systems. Pulmonary hemorrhage is recognized as a severe respiratory complication. Untreated, the mortality rate approaches 90% at 2 years. We describe a case of Wegener granulomatosis with coexistent severe lung hemorrhage and pulmonary and deep vein thromboses. A 31-year-old man presented with features of vasculitis, including epistaxis, fever, and acute kidney injury with an increased serum creatinine level (3.27 mg/dL). Kidney biopsy confirmed pauci-immune crescentic glomerulonephritis, and antineutrophil cytoplasmic antibody showing a cytoplasmic staining pattern was strongly positive. Standard immunosuppression therapy (prednisolone and cyclophosphamide) was started. Eleven days later, the patient developed sudden dyspnea. A computed tomographic pulmonary angiogram showed pulmonary emboli, and ultrasound of the limbs showed ileofemoral thrombi bilaterally. Subcutaneous enoxaparin and warfarin therapy was started, but 8 days later, the patient had a massive pulmonary hemorrhage. Anticoagulation therapy was stopped, and plasma exchange was started to prevent further life-threatening hemorrhage. An inferior vena cava filter was inserted to prevent further pulmonary emboli during the period when anticoagulation was withheld. Kidney function improved, and pulmonary hemorrhage resolved after 5 plasma exchanges. Reintroduction of intravenous heparin and subsequently warfarin caused no further bleeding. We discuss the difficult management dilemma this combination of disease manifestations presents and review the current literature.