Multiple-Input Multiple-Output Cooperative Cognitive Radio Networks (MIMO-CCRNs) have been proposed recently to further improve the spectrum efficiency. In MIMO-CCRNs, secondary users (SUs) equipped with multiple antennas can cooperatively relay the primary signals for the primary users (PUs) while concurrently accessing the same spectrum to send the secondary traffic for themselves. This communication model is intrinsically vulnerable to eavesdropping as more wiretapping opportunities can be exploited by attackers. In this paper, we propose to employ cooperative jamming at physical (PHY) layer to achieve secure transmissions. In cooperative jamming, certain SUs are employed as helpers to send jamming signals to jam the eavesdropper without interfering the legitimate receivers. We optimize the design of the beamformers (including the information beamformer and the jamming beamformer) as well as the power allocation vector to maximize the secrecy capacity in two scenarios. Simulation results demonstrate that the secrecy capacity is remarkably enhanced in our cooperative jamming scheme. To the best of our knowledge, this work is the first one to investigate the PHY layer security issue for MIMO-CCRNs.