Researchers who are trying to make sense of the idea that statins might protect against sepsis are led to the false conclusion that statins must have some other biological effect ( besides their dramatic ability to interfere with cholesterol production) that is making them protective against sepsis. This other effect would protect against infection and inflammation. Yet protecting against infection and inflammation is something that cholesterol itself does extremely well. Based on biology, I would expect that, if the difference in cholesterol levels between the control group and the treatment group are eliminated, the apparent beneficial effect of statins for sepsis would disappear. In fact, I would expect the effect to go in the wrong direction, i.e., statins cause an increased risk to sepsis.
An article by Wilson et al.  in the journal Critical Care studied changes in blood cholesterol levels following trauma, infection and multiple organ failure. I quote their abstract in full here:
"Hypocholesterolemia is an important observation following trauma. In a study of critically ill trauma patients, mean cholesterol levels were significantly lower (119 ± 44 mg/dl) than expected values (201 ± 17 mg/dl). In patients who died, final cholesterol levels fell by 33% versus a 28% increase in survivors. Cholesterol levels were also adversely affected by infection or organ system dysfunction. Other studies have illustrated the clinical significance of hypocholesterolemia. Because lipoproteins can bind and neutralize lipopolysaccharide, hypocholesterolemia can negatively impact outcome. New therapies directed at increasing low cholesterol levels may become important options for the treatment of sepsis." 
"Hypocholesterolemia" is low cholesterol. Patients who died had low cholesterol to begin with, and saw their cholesterol drop on average by 33%. Patients who survived experienced a 28% increase in cholesterol level over the course of the disease -- they were able to marshall all their defenses toward manufacturing cholesterol at full capacity to fight the disease. "Lipopolysaccharide" is another term for the endotoxins that bacteria release triggering a sepsis event. "Lipoproteins" is the second "L" in "LDL". So the statement, "lipoproteins can bind and neutralize lipopolysaccharide" means that cholesterol is mobilized to bind and neutralize the endotoxins released by bacteria during an acute phase of infection, the one thing that most critically needs to be done to get out of a sepsis crisis. The article advocates drugs to support increasing cholesterol levels, i.e., the exact opposite of a statin drug.
CAH (cholesterol-7alpha-hydroxylase) is an enzyme that plays an important role in the liver to break cholesterol down and dispose of it as bile acids. In experiments conducted on hamsters, Feingold et al. (Endotoxins and CAH) exposed the hamsters to bacterial endotoxins and observed an immediate biological response that inhibited the activity of CAH, which then promoted the availability of more cholesterol to devote to fighting the infection. In the summary, they conclude, "Thus the decrease in CAH may play a role in facilitating the formation and secretion of lipoprotein in the liver, thereby contributing to host defense." I.e., by preventing the breakdown of cholesterol in the liver, more cholesterol is made available to fight the disease.
If statins lowered the risk of sepsis in the individual, then they should have done so in the general population as well, yet the results of epidemiological studies yield dramatically different results.
"In the United States, there were an estimated 750,000 cases of severe sepsis in 1995, resulting in 215,000 deaths, and there was an annualized increase in the incidence of sepsis of 8.7% between 1979 and 2000. Sepsis now rivals acute myocardial infarction as a frequent cause of death. It is the leading cause of death in noncoronary intensive care units (ICUs)."  (Sepsis is on the Rise) .
Let me repeat: 8.7% increase in sepsis incidence every year. Statin drugs were first introduced as prescription drugs in the 1980's, and have enjoyed steadily increasing usage statistics since then. (Statin History) . If they protect against sepsis, why does the incidence of sepsis keep going up every year as more and more people take statins?
The answer to this question is the same as the answer to the question of why the effect goes away when you perform a randomized double-blind trial. It is cholesterol, not statins, that protects against sepsis. In the retrospective studies, the control group are the ones who did not meet the requirements for statin prescription, i.e., who must have had very low cholesterol indeed, if they were not being prescribed statins in spite of heart disease or stroke. It is their low LDL that makes them susceptible to sepsis. In the placebo-controlled ASEPSIS trial, there would not have been a distinction in the pre-treatment cholesterol levels between the treatment group and the controls, and this is what caused the apparent benefit of statins to disappear: it was actually a benefit of cholesterol that was measured instead.
While it is less well known than the number one and number two killers, heart disease and cancer, sepsis is nonetheless a very nasty condition that kills fast and viciously. To quote from Wikipedia,
"In the United States, sepsis is the second-leading cause of death in non-coronary ICU patients, and the tenth-most-common cause of death overall according to data from the Centers for Disease Control and Prevention (the first being multiple organ dysfunction syndrome). Sepsis is common and also more dangerous in elderly, immunocompromised, and critically-ill patients. It occurs in 1-2% of all hospitalizations and accounts for as much as 25% of intensive-care unit (ICU) bed utilization. It is a major cause of death in intensive-care units worldwide, with mortality rates that range from 20% for sepsis to 40% for severe sepsis to >60% for septic shock." (Wikipedia on Sepsis) .
The flawed studies suggesting a link between taking statins and preventing sepsis are actually instead showing a link between very low cholesterol and increased sepsis susceptibility. Cholesterol is doing the work, and statins are stealing the credit. All the while, statins are slowly crippling the work horse.
As a final blow to the theory that statins may protect against infection, a carefully designed study that just came out has shown that statin drugs increase the risk of pneumonia requiring hospitalization in the elderly by 61% (Statins Increase Risk for Pneumonia) . The study, published in the British Medical Journal, involved over 3,000 Group Health patients. The study was inspired by the recent hype that statins might protect against infection, an idea that is looking more and more like the result of the benefits of high cholesterol rather than any immune resistance role for statins. The result is consistent with the view that the effect of statins to reduce cholesterol levels in the blood is actually serving to decrease immunity and promote infection.