There is a widespread view that in order to be rational we must mostly know what we believe. In the probabilistic tradition this is defended by arguments that a person who failed to have this knowledge would be vulnerable to sure loss, or probabilistically incoherent. I argue that even gross failure to know one's own beliefs need not expose one to sure loss, and does not if we follow a generalization of the standard bridge principle between first‐order and second‐order beliefs. This makes it possible for a subject to use probabilistic decision theory to manage in a rational way cases of potential failure of this self‐knowledge, as we find in implicit bias. Through such cases I argue that it is possible for uncertainty about what our beliefs are to be not only rationally permissible but advantageous.