Well the whole point of using k.o. mice to see the phenotype of a specific gene on different biological situations. It is higly depends on the qestion you ask. There are some specific models of spontanious desease development due to gene k.o. yet again you shuld consdider what is the scientific qestion you adressing with this. 

Thanks Anton. As you said we use k.o. models to investigate the specific activity of an agent against certain gene/pathway of the immune system. However, my question is that why do researchers use k.o. mice even to determine the immune activity of a certain element even from the beginning without knowing their effect on the immune system?

The decision to create a k.o. mouse strain is usually based on some previous study i.e. microarray data showing up regulation of certain genes, in-vitro gene screening, immunopercepitation data of protein-protein interactions. Well sometimes when you have some extra money to spend and CRISPR technology have become rather affordable some labs create k.o. mouse just out of the guess work based on literature data of effects of specific gene or protein in different environment that suggest that it might be interesting to study it within the focus of your own work.