diff --git a/setup.py b/setup.py
index c9a29663caf..c2743c58ede 100644
--- a/setup.py
+++ b/setup.py
@@ -63,7 +63,9 @@ def get_extras_require() -> Dict[str, List[str]]:
             "mlflow",
         ],
         "document": [
-            "sphinx",
+            # TODO(nzw): Remove the version constraint after resolving the issue
+            # https://github.com/optuna/optuna/issues/2658.
+            "sphinx<4.0.0",
             "sphinx_rtd_theme",
             "sphinx-copybutton",
             "sphinx-gallery",