Cyber security is concerned with protecting computer and network system from corruption due to malicious software including Trojan horses and virus. Security of our network system is becoming imperative as massive sensitive information is transmitted across the network. In this research paper, data mining application for cyber security is highly explored. We discussed various cyber-terrorism or attack committed across the network such as malicious intrusion, credit card fraud, identity thefts, and infrastructure attack. Data mining techniques such as classification, anomaly, link analysis and so on are being applied to detect or prevent the aforementioned cyber-terrorism or attack. Recommendations were made and suggestion for further study was indicated.