An essential part of any factorisation proof is the demonstration that the exchange of Glauber gluons cancels for the considered observable. We show this cancellation' at all orders for double Drell-Yan production (the double parton scattering process in which a pair of electroweak gauge bosons is produced) both for the integrated cross section and for the cross section differential in the transverse boson momenta. In the process of constructing this proof, we also revisit and clarify some issues regarding the Glauber cancellation argument and its relation to the rest of the factorisation proof for the single Drell-Yan process.