1. A computer-implemented method of managing scanning in a virtualization environment, the method comprising: initiating scanning on a first virtual machine hosted in a first host machine that is hosting a first plurality of virtual machines, the first virtual machine being one of the first plurality of virtual machines; saving a scan state of the first virtual machine, the scan state indicating status of the anti-malware scanning on the first virtual machine initiated in the first host machine; migrating the first virtual machine and the scan state to a second host machine that is hosting a second plurality of virtual machines; and performing scanning on the first virtual machine in the second host machine based on information from the scan state.