Based on data from students in six colleges in China, this article investigated the status and correlations between their privacy concern, privacy cognition, privacy worry and privacy protection while using WeChat. Results showed that the higher frequency of WeChat use is positively related to higher privacy concern and the privacy cognition. Also, their cognitive level of social privacy information is higher than personal privacy information. In addition, the higher their cognitive level of personal information, the higher their level of privacy concern and privacy worry. The higher their level of privacy concern and privacy worry, the greater the possibility of privacy protection. There also existed an obvious “Privacy Paradox,” which indicated that, although they expressed their concern about personal privacy disclosure, they voluntarily disclosed a large amount of private information while using WeChat.