We analyse the effects of doping Holmium impurities into the full-Heusler ferromagnetic alloy Co$_2$MnSi. Experimental results, as well as theoretical calculations within Density Functional Theory in the Local Density Approximation plus Hubbard U framework show that the holmium moment is aligned antiparallely to that of the transition metal atoms. According to the electronic structure calculations, substituting Ho on Co sites introduces a finite density of states in the minority spin gap, while substitution on the Mn sites preserves the half-metallic character.