Coronavirus (COVID-19) is an ecumenical pandemic that has affected the whole world drastically by raising a global calamitous situation. Due to this pernicious disease, millions of people have lost their lives. The scientists are still far from knowing how to tackle the coronavirus due to its multiple mutations found around the globe. Standard testing technique called Polymerase Chain Reaction (PCR) for the clinical diagnosis of COVID-19 is expensive and time consuming. However, to assist specialists and radiologists in COVID-19 detection and diagnosis, deep learning plays an important role. Many research efforts have been done that leverage deep learning techniques and technologies for the identification or categorization of COVID-19 positive patients, and these techniques are proved to be a powerful tool that can automatically detect or diagnose COVID-19 cases. In this paper, we identify significant challenges regarding deep learning-based systems and techniques that use different medical imaging modalities, including Cough and Breadth, Chest X-ray, and Computer Tomography (CT) to combat COVID-19 outbreak. We also pinpoint important research questions for each category of challenges. The challenges highlighted in this paper will call an attention to the noticeable weaknesses and problems in the existing deep learning based COVID-19 detection systems and techniques. Moreover, the research questions for each challenge will guide the researchers to come up with novel solutions in COVID-19 detection.