Defining the mechanisms involved in the aetiology of Alzheimer’s disease from genome-wide association studies alone is challenging since Alzheimer’s disease is polygenic and most genetic variants are non-coding. Non-coding Alzheimer’s disease risk variants can influence gene expression by affecting miRNA binding and those located within enhancers and within CTCF sites may influence gene expression through alterations in chromatin states. In addition, their function can be cell-type specific. They can function specifically in microglial enhancers thus affecting gene expression in the brain. Hence, transcriptome-wide association studies have been applied to test the genetic association between disease risk and cell/tissue-specific gene expression. Many Alzheimer’s disease—associated loci are involved in the pathways of the innate immune system. Both microglia, the primary immune cells of the brain, and monocytes which can infiltrate the brain and differentiate into activated macrophages, have roles in neuroinflammation and β-amyloid clearance through phagocytosis. In monocytes the function of regulatory variants can be context-specific after immune -stimulation. To dissect the variants associated with Alzheimer’s disease in the context of monocytes, we utilised data from naïve monocytes and following immune stimulation in vitro, in combination with genome-wide association studies of Alzheimer’s disease in transcriptome-wide association studies. Of the nine genes with statistically independent transcriptome-wide association signals, seven are located in known Alzheimer’s disease risk loci: BIN1, PTK2B, SPI1, MS4A4A, MS4A6E, APOE and PVR. The transcriptome-wide association signal for MS4A6E, PTK2B and PVR and the direction of effect replicated in an independent GWAS. Our analysis identified two novel candidate genes for Alzheimer’s disease risk, LACTB2 and PLIN2/ADRP. LACTB2 replicated in a transcriptome-wide association study using independent expression weights. LACTB2 and PLIN2/ADRP are involved in mitochondrial function and lipid metabolism respectively. Comparison of transcriptome-wide association study results from monocytes, whole blood and brain showed that the signal for PTK2B is specific to blood and MS4A6E is specific to LPS stimulated monocytes.