Mobile devices have been widely used by people to meet their information processing and communication needs for both work and personal life. However, the loss and theft of these devices has created a new type of information security threat to the individuals as well as to the companies involved. Based on protection motivation theory (PMT), this study constructs a user behaviour model to empirically investigate the key factors that may affect end user behaviours in coping with mobile device loss and theft. The results suggest that user coping intention is influenced by user threat perception, coping appraisal, and social influence. The findings of this study contribute to information systems security research by addressing very important mobile security risks from a specific perspective and by revealing that the combined but not singular effects of perceived vulnerability and perceived severity influence user intention to cope with security threats.