I read in Bruce Alberts Molecular Biology of the cell :
Normal mice,for example, cannot make an immune response against one of their own protein components of the complement system called C5. Mutant mice, however, lack the gene encoding C5(but are otherwise genetically identical to the normal mice) can make a strong immune response to this blood protein when immunized with it. Natural immunological tolerance for a particular self molecule persists only for as long the molecule remains present in the body. If a self molecule such as C5 is removed, an animal gains the ability to respond to it after a few weeks or months. Thus, the immune system is genetically capable of responding to self molecules but learns not to do so.
So, why does an immune reaction not happen when a new protein is introduced to patients lacking it ? For example if you give clotting factor to hemophilic patient.