Data from the magnetometer MAG aboard the Venus Express S/C are investigated for the occurrence of cyclotron wave phenomena upstream of the Venus bow shock. For an unmagnetized planet such as Venus and Mars the neutral exosphere extends into the on-flowing solar wind and pick-up processes can play an important role in the removal of particles from the atmosphere. At Mars upstream proton cyclotron waves were observed but at Venus they were not yet detected. From the MAG data of the first 4 months in orbit we report the occurrence of proton cyclotron waves well upstream from the planet, both outside and inside of the planetary foreshock region; pick-up protons generate specific cyclotron waves already far from the bow shock. This provides direct evidence that the solar wind is removing hydrogen from the Venus exosphere. Determining the role the solar wind plays in the escape of particles from the total planetary atmosphere is an important step towards understanding the evolution of the environmental conditions on Venus. The continual observations of the Venus Express mission will allow mapping the volume of escape more accurately, and determine better the present rate of hydrogen loss.