I'm on a VPS (Ubuntu 14.04.2 LTS, Kernel 3.13.0-042stab094.8, rsyslog 7.4.4-1ubuntu2.5) and kernel.log stays empty with only this line:
rsyslogd: imklog: cannot open kernel log (/proc/kmsg): Operation not permitted.
The server was preconfigured with syslogd and klogd from busybox. I deinstalled them and installed rsyslog with apt-get. Everything seemed to work fine. I have entries in all the other logfiles.
I'm not sure if it is relatet to this bug: https://bugs.launchpad.net/ubuntu/+source/rsyslog/+bug/1366829