In the standard model, rare 2-body radiative decays of the electroweak bosons W and Z are predicted to have very small branching ratios and are yet to be observed experimentally. These decays have very clean signatures and their branching ratios can be sensitive to a new physics. With more than 10^8 W's and 3*10^7 Z's produced at the Tevatron collider at Fermilab experimental searches for the rare decays of the W and Z bosons are continuing. In my talk I will review status of the searches. I will also present results of the most recent search for the W->pi gamma decay by the CDF experiment which improves the existing experimental limit on the probability of this decay by an order of magnitude.