Cyber security threats in Kenya has been increasing steadily; particularly in banks. A Cyber security vulnerability is a software, hardware or procedural weakness that may provide an attacker entry to a computer or network. This study aimed at investigating Cyber security threats and vulnerabilities that the banking industry in Kenya is grappling with. The study examined the definitions of cyber threats and vulnerabilities and further examined the categories of cyber threats and vulnerabilities afflicting organizations world-wide in general and the banking industry in Kenya in particular. We used the purposive sampling technique because the ICT functionality is centralized at the bank headquarters in Nairobi – the capital city of Kenya. The findings of the study give banks an insight on threats and hence banks must implement strategies that positively counter these threats