The main aim of this study is to identify purchase intention among Malaysian online consumer towards online store. A recent data provided by MCMC indicate that only 9.3 percent of Internet users in Malaysia admitted doing online purchasing despite huge number reflects Malaysian is heavy Internet users. This is due to the factors that the consumers are feared towards risk they may get during shopping online and this can affect their purchase intention activities. The finding identified that privacy risk and delivery risk are significant to purchase intention among online consumers in Malaysia. Meanwhile, financial risk, product performance risk, time risk, psychological risk, social risk and after-sale risk are not significant to purchase intention. This indicated that Malaysian online consumers tend to care their personal information has been misused by third parties within their permission in order to prevent privacy risk in online shopping activities.