Recent advancements in wireless communication are creating a spectrum shortage problem on a daily basis. Recently, Cognitive Radio (CR) has attempted to minimize this problem by allowing secondary users to coexist with primary users without causing interference to their communication through dynamic utilization of free spectrum. CR offers many promising benefits including dynamic spectrum sharing, robust cross-layer adaptation, and collaborative networking. It is anticipated that CR technology will be the next wave of innovation in information and communications technologies. Although operational aspects of CR are being explored vigorously, its security aspects have gained little attention. Due to the dynamic nature of CR networks and the fact that they exposed relatively more to wireless networks, entirely new classes of security threats and challenges are introduced, such as licensed user emulation, selfish misbehaviors and unauthorized use of spectrum bands. To achieve successful deployment of CR technologies in practice, there is a critical need to advance the theoretical understanding of these entirely new classes of security threats and challenges. Therefore, in this paper, our primary objective is to identify and investigate the major known security threats within a CR network (CRN). Our secondary objective is to highlight on how potential threats exploit the vulnerabilities present at different layers of a communication stack.