Ultra Dense Networks (UDNs) have emerged as a pivotal technology in meeting the exponential growth in data demand and providing seamless connectivity in 5G and beyond networks. However, the high density of small cells in UDNs introduces significant challenges related to security, privacy, and performance. This survey paper presents a comprehensive review of the current state-of-the-art in addressing these concerns. It begins by exploring the unique security vulnerabilities inherent to UDNs, including the increased risk of eavesdropping, denial of service attacks, and unauthorized access due to the close proximity of small cells. The paper then discusses privacy issues, particularly the risks of location tracking and user data exposure, exacerbated by the dense deployment of base stations. In terms of performance, the paper evaluates the impact of interference, handover management, and resource allocation on network efficiency. Various proposed solutions, such as advanced encryption techniques, privacy-preserving algorithms, and interference mitigation strategies, are analyzed and compared. The survey concludes by identifying open research challenges and future directions, emphasizing the need for integrated approaches that simultaneously address security, privacy, and performance to ensure the robust operation of UDNs in next-generation wireless networks.