The autoencoder (AE) is widely utilized in deep anomaly detection, but it lacks explainability due to the complexity of nonlinear mapping. One approach to address this issue is incorporating wavelet theory, which shares similarities in decomposition and reconstruction procedures. However, the perfect reconstruction property of wavelet theory conflicts with AE-based anomaly detection. To tackle this problem, we introduce a novel deep anomaly detection method from a frequency perspective. A learnable M-band wavelet network (MWNet) is designed to offer a flexible frequency band structure for signal representation. Subsequently, with the aid of sparsity constraint, MWNet dynamically focuses on key components within each frequency band. A learnable hard threshold function with a threshold maximization constraint is proposed to retain the essential frequency band of normal signals. After training, the MWNet is exclusively capable of well reconstructing normal signals, thereby producing a noticeable reconstruction error difference between normal and abnormal signals. Extensive experiments on both simulated and experimental datasets validate the effectiveness of the proposed method. The corresponding Python codes are available at https://github.com/albertszg/MbandWaveletNet.