As technology has progressed, people have begun to perform various daily tasks by using different online applications and services, which has led to a large number of incidents of identity theft. These unpleasant events incur expensive costs for individuals, companies, and authorities, and as a result, identity theft concerns them greatly. Although scholars of information security have devoted their efforts to developing technology to prevent identity theft, it is not clear what factors influence an individual’s security protection motivation. Few empirical and behavioral studies on this topic have been conducted. To fill this gap, this study extends the protection motivation theory with anxiety, elucidating the influences of a future negative event (identity theft) on an individual’s current emotion, which in turn determines protection motivation. This study proposes a research model that explores the influences of threat appraisal (perceived severity and perceived susceptibility) and coping appraisal (response efficacy and self-efficacy) on anxiety, which affects protection motivation. The results in this study provide a more holistic comprehension of identity theft and protection motivation, and can be referred to when developing efficient security guidance and practices.