Severe coronavirus disease 2019 (COVID-19) is characterized by systemic hyper-inflammation, acute respiratory distress syndrome, and multiple organ failure. Cytokine storm refers to a set of clinical conditions caused by excessive immune reactions and has been recognized as a leading cause of severe COVID-19. While comparisons have been made between COVID-19 cytokine storm and other kinds of cytokine storm such as hemophagocytic lymphohistiocytosis and cytokine release syndrome, the pathogenesis of cytokine storm has not been clearly elucidated yet. Recent studies have shown that impaired response of type-1 IFNs in early stage of COVID-19 infection played a major role in the development of cytokine storm, and various cytokines such as IL-6 and IL-1 were involved in severe COVID-19. Furthermore, many clinical evidences have indicated the importance of anti-inflammatory therapy in severe COVID-19. Several approaches are currently being used to treat the observed cytokine storm associated with COVID-19, and expectations are especially high for new cytokine-targeted therapies, such as tocilizumab, anakinra, and baricitinib. Although a number of studies have been conducted on anti-inflammatory treatments for severe COVID-19, no specific recommendations have been made on which drugs should be used for which patients and when. In this review, we provide an overview of cytokine storm in COVID-19 and treatments currently being used to address it. In addition, we discuss the potential therapeutic role of extracorporeal cytokine removal to treat the cytokine storm associated with COVID-19.