It is an essential means to detect and analysize the abnormal network traffic in network supervision. And it is also an important research topic in the field of network security management. At the beginning of this paper, we discuss some types of abnormal network traffic, and point out some problems while using traditional anomaly detection methods in network traffic anomaly detection. And then, we specify the latest research achievements of anomaly detection method based on entropy theory which apply information entropy, relative entropy, and active entropy theory to detect abnormal network traffic. Finally, we conclude some problems of anomaly detection methods based on entropy theory and the direction of improvement.