Recent advances have highlighted the outstanding role of the innate immune system for instructing adaptive immunity. Translating this knowledge into successful immunotherapies like vaccines, however, has proven to be a difficult task. This essay is based on the hypothesis that immune responses are tightly scaled to the infectious threat posed by a given microbial stimulus. A meticulous immunological risk‐assessment process is therefore instrumental for eliciting well‐balanced responses and maintaining immune homeostasis. The immune system makes fine distinctions, for example, between live and dead bacteria, or pathogenic and non‐pathogenic microorganisms. Here, I discuss recent evidence for some of the mechanisms underlying these distinctions and speculate on strategies for therapeutically targeting the immunological risk‐assessment machinery.