During the 1930 and 1940s, the small world of cosmologists was buzzing with philosophical and methodological questions. The debate was stirred by Edward Milne's cosmological model, which was deduced from general principles that had no link with observation. Milne's approach was to have an important impact on the development of modern cosmology. But this article shows that it is an exaggeration to intimate, as some authors have done recently, that Milne's rationalism went on to infiltrate the discipline.