Exosomes are small membrane vesicles, secreted by most cell types from multivesicular endosomes, and thought to play important roles in intercellular communications. Initially described in 1983, as specifically secreted by reticulocytes, exosomes became of interest for immunologists in 1996, when they were proposed to play a role in antigen presentation. More recently, the finding that exosomes carry genetic materials, mRNA and miRNA, has been a major breakthrough in the field, unveiling their capacity to vehicle genetic messages. It is now clear that not only immune cells but probably all cell types are able to secrete exosomes: their range of possible functions expands well beyond immunology to neurobiology, stem cell and tumor biology, and their use in clinical applications as biomarkers or as therapeutic tools is an extensive area of research. Despite intensive efforts to understand their functions, two issues remain to be solved in the future: (i) what are the physiological function(s) of exosomes in vivo and (ii) what are the relative contributions of exosomes and of other secreted membrane vesicles in these proposed functions? Here, we will focus on the current ideas on exosomes and immune responses, but also on their mechanisms of secretion and the use of this knowledge to elucidate the latter issue.