This paper deals with the application of the mathematical kinetic theory for active particles, with discrete activity states, to the modelling of the immune competition between immune and cancer cells. The first part of the paper deals with the assessment of the mathematical framework suitable for the derivation of the models. Two specific models are derived in the second part, while some simulations visualize the applicability of the model to the description of biological events characterizing the immune competition. A final critical outlines some research perspectives.