Sarcoidosis is a multisystem granulomatous disorder invariably affecting the lungs. It is a disease with noteworthy variations in clinical manifestation and disease outcome and has been described as an “immune paradox” with peripheral anergy despite exaggerated inflammation at disease sites. Despite extensive research, sarcoidosis remains a disease with undetermined aetiology. Current evidence supports the notion that the immune response in sarcoidosis is driven by a putative antigen in a genetically susceptible individual. Unfortunately, there currently exists no reliable biomarker to delineate the disease severity and prognosis. As such, the diagnosis of sarcoidosis remains a vexing clinical challenge. In this review, we outline the immunological features of sarcoidosis, discuss the evidence for and against various candidate etiological agents (infective and noninfective), describe the exhaled breath condensate, a novel method of identifying immunological biomarkers, and suggest other possible immunological biomarkers to better characterise the immunopathogenesis of sarcoidosis.