Genome-wide analyses of various taxa have repeatedly shown that immune genes are important targets of positive selection. However, little is known about what factors determine which immune genes are under positive selection. To address this question, we here focus on the mammalian immune system and investigate the importance of gene function and other factors such as gene expression, protein-protein interactions, and overall selective constraint as determinants of positive selection. We compiled a list of >1,100 immune genes that were divided into six functional categories and analyzed using data from rodents. Genes encoding proteins that are in direct interactions with pathogens, such as pattern recognition receptors (PRRs), are often expected to be key targets of positive selection. We found that categories containing cytokines, cytokine receptors, and other cell surface proteins involved in, for example, cell-cell interactions were at least as important targets as PRRs, with three times higher rate of positive selection than nonimmune genes. The higher rate of positive selection on cytokines and cell surface proteins was partly an effect of these categories having lower selective constraint. Nonetheless, cytokines had a higher rate of positive selection than nonimmune genes even at a given level of selective constraint, indicating that gene function per se can also be a determinant of positive selection. These results have broad implications for understanding the causes of positive selection on immune genes, specifically the relative importance of host-pathogen coevolution versus other processes.