Celiac disease (CD) is an autoimmune disorder characterized by intolerance to dietary gluten in genetically predisposed subjects. Iron deficiency anemia (IDA) is a common sign in CD, being the only abnormality in approximately 40% of celiac patients. A multifactorial etiology leads to IDA in CD. The two main causes are the villous atrophy of the mucosa at the site of iron absorption (the duodenum) and the resulting inflammation, which triggers the mechanism that leads to the anemia of chronic disease. Until now, it has been unclear why some patients with CD continue to have IDA despite a careful gluten-free diet (GFD) and the normalization of villous atrophy. Furthermore, some celiac patients are refractory to oral iron supplementation despite the healing of the mucosa, and they thus require periodic intravenous iron administration. The Marsh classification evaluates the degree of inflammation and villous atrophy, but it does not assess the possible persistence of ultrastructural and molecular alterations in enterocytes. The latter was found in CD in remission after adopting a GFD and could be responsible for the persistently reduced absorption of iron and IDA. Even in non-celiac gluten sensitivity, anemia is present in 18.5-22% of patients and appears to be related to ultrastructural and molecular alterations in intestinal microvilli. It is possible that a genetic component may also play a role in IDA. In this review, we evaluate and discuss the main mechanisms of IDA in CD and the possible causes of its persistence after adopting a GFD, as well as their therapeutic implications.