In this paper, the concept of causality in physics is discussed. Causality is a necessary tool for the understanding of almost all physical phenomena. However, taking it as a fundamental principle may lead us to wrong conclusions, particularly in cosmology. Here, three very well-known problems-the Einstein-Podolsky-Rosen paradox, the accelerating expansion and the asymmetry of time-are discussed from this perspective. In particular, the implications of causality are compared to those of an alternative approach, where we instead take the probability space of all possible developments as the starting point.