As cybersecurity threats continue to evolve, and cybersecurity teams strive to protect digital infrastructures, employees often get perplexed by the threats and corresponding countermeasures. Drawing from a literature review and a qualitative exploratory study with 85 participants, this paper conceptualizes a novel concept, namely, cybersecurity perplexity. Cybersecurity perplexity refers to a paradoxical psychological state that individuals experience when facing adverse cybersecurity conditions in the workplace (e.g., ambiguous or surprising information security (ISec) policies or awareness of cybersecurity threats). Cybersecurity perplexity has three interrelated dimensions: cybersecurity confusion, cybersecurity pressure, and cybersecurity response uncertainty. Central to cybersecurity perplexity is that individuals are confused and uncertain about responding to adverse cybersecurity conditions yet feel pressure to act. We contribute to the ISec literature by providing a conceptualization of cybersecurity perplexity and initiating a discussion about this novel phenomenon encouraging future research.