We investigate the effects of electronic correlations in the full-Heusler Co$_2$MnSi, by combining a theoretical analysis of the spin-resolved density of states with tunneling-conductance spectroscopy measurements using Co$_2$MnSi as electrode. Both experimental and theoretical results confirm the existence of so-called non-quasiparticle states and their crucial contribution to the finite-temperature spin polarisation in this material.