We knew that, despite of his protestations to the contrary, for of a number of reasons.

One, the emails showed that Walker was in the thick of things. Two, he was caught stonewalling the investigation. Three, Walker created a legal defense cooperation fund, which he could only have done if he was under investigation.

Investigators had a number of options that they could pursue with Walker. There was the illegal politicking of having his county staff coordinating with his campaign staff. There was using county time, equipment and personnel for campaigning and fundraising. Then there were allegations that Walker and others, including his then campaign finance director, John Hiller, doing bid rigging for a lease to house county staff.

It was the last crime that prosecutors were pursuing when they executed search warrants on the homes of his aides, including Cindy Archer. We know this because of the search warrant request the Milwaukee County District Attorney's Office filed in response to Archer's frivolous lawsuit.

From the Wisconsin State Journal:

Prosecutors, including Milwaukee County District Attorney John Chisholm, a Democrat, and assistant district attorneys Bruce Landgraf and David Robles, were looking into signs of misconduct and bid-rigging regarding competition to house the Department of Aging in private office space.
Hiller, a real estate broker who at the time was Walker’s longtime campaign treasurer, was quietly working for one of three bidders seeking to provide office space and purchase an aging building known as City Campus owned by Milwaukee County.

Stelter argued in the warrant request that Walker committed a felony when in June of 2010 he used a personal email account to ask Hiller for a letter that rejected Department of Transportation and Public Works director Jack Takarian’s request for a six-month extension for the county’s Department on Aging office lease in the Ruess Federal Plaza in Milwaukee. That rejection set up the need for a later deal “against the interests of Milwaukee County,” the warrant said.

Hiller then forwarded the email to Jensen, according to the search warrant request, who then with Hiller wrote the letter rejecting the extension.
The State Journal reported in 2014 that Hiller got detailed financial information from Archer when she was county director of the Department of Administration around the time he was bidding on the deal, according to emails released in the John Doe investigation. The probe, which began when Walker was Milwaukee County executive, showed Hiller lobbied for the county to sell its City Campus building and then got information around the time bids were being evaluated to provide office space for workers to be displaced by the sale.
The county never followed through with the deal for the building and no charges were filed.

Hiller, in one email to Archer on Aug. 20, 2010, said he thought officials involved with the request for proposals were unaware of his involvement. “I am very sensitive to the situation and I work pretty hard not to leave finger prints,” wrote Hiller, who resigned as Walker’s campaign treasurer in May 2011.

Now, as the media has never failed to report, Walker was never charged for these crimes.

What the media never fails not to report is that this is because Walker had spent hundreds of thousands of dollars on high-priced private attorneys that specialize in corruption cases like this. Walker also spent hundreds of thousands of dollars in defense of his campaign. And this does not include the money he spent out of pocket before he established his legal defense cooperation fund or the money he spent to buy the silence of his former aides like Archer and Kelly Rindfleisch.

Nearly a million dollars can buy a lot of "innocence", I guess.