[Objective] Exploring the influence mechanism of threat appraisal on users' defensive privacy protection behavior intentions will help companies make reasonable privacy management decisions and build a healthy digital ecology of companies. [Methods] Based on the theory of protection motivation and focusing on its threat appraisal, we developed a research model of the influence of threat appraisal on users' defensive privacy protection behavior intentions, in which "information privacy anxiety" was introduced as an emotional mediating variable and information sensitivity of the context as a moderating variable. SEM-PLS was used to conduct empirical analysis on 183 valid data with finance context and 200 valid data with e-commerce context. [Results] Information privacy anxiety is a key emotional factor influencing users' defensive privacy protection behavior intentions, and information privacy anxiety plays a partial intermediary role in the relationship between perceived threat and defensive behavioral intention of privacy protection. Information sensitivity of the context positively moderates the positive relationship between information privacy anxiety and defensive privacy protection behavior intentions. Information sensitivity of the context only moderates the positive relationship between perceived vulnerability and perceived threat, but does not moderate the positive relationship between perceived severity and perceived threat. [Limitations] First, this study measures behavioral intentions rather than actual behaviors. Second, in terms of information sensitivity comparison, this study only selects two representative contexts: finance and e-commerce. [Conclusions] This study complements and develops the protection motivation theory, and provides theoretical guidance for companies to take appropriate management measures to reduce users' defensive privacy protection behaviors.