Graphene has unique electronic properties stemming from a linear gapless carrier energy spectrum, and has dominant advantages in the research of devices such as lasers, detectors and modulators in terahertz region due to its tunable energy gap and extremely high carrier mobility. In this review, we summarize its latest progress in applications of terahertz devices such as lasers, detectors and modulators. Terahertz lasers based on graphene can reach a gain as high as 104 cm-1, and terahertz detectors with different structures such as a bilayer graphene field-effect transistor with top gate and buried gate can achieve NEP (noise equivalent power) ～ m nW/Hz. Graphene terahertz modulators, which are equipped with transmission configuration and reflection configuration, can have a very high modulation depth. These results may be helpful for developing the high-efficiency graphene terahertz devices.