Only a third of immune-associated loci from genome-wide association studies (GWAS) colocalize with expression quantitative trait loci (eQTLs). To learn about causal genes and mechanisms at the remaining loci, we created a unified single-cell chromatin accessibility (scATAC-seq) map in peripheral blood comprising a total of 282,424 cells from 48 individuals. Clustering and topic modeling of scATAC data identified discrete cell-types and continuous cell states, which helped reveal disease-relevant cellular contexts, and allowed mapping of genetic effects on chromatin accessibility across these contexts. We identified 37,390 chromatin accessibility QTLs (caQTL) at 10% FDR across eight cell groups and observed extensive sharing of caQTLs across immune cell contexts, finding that fewer than 20% of caQTLs are specific to a single cell type. Notably, caQTLs colocalized with ∼50% more GWAS loci compared to eQTLs, helping to nominate putative causal genes for many unexplained loci. However, most GWAS-caQTL colocalizations had no detectable downstream regulatory effects on gene expression levels in the same cell type. We find evidence that the higher rates of colocalization between caQTLs and GWAS signals reflect missing disease-relevant cellular contexts among existing eQTL studies. Thus, there remains a pressing need for identifying disease-causing cellular contexts and for mapping gene regulatory variation in these cells.