Millimeter wave (mmWave) communications and cognitive radio networks are two key technologies to improve the spectral efficiency. For a cognitive mmWave wiretap network in which randomly located eavesdroppers may reside in the signal beam of the secondary network, confidential messages could still be wiretapped. Moreover, the primary user may be covered by the main lobe generated by directional beamforming of the secondary network, the interference to the primary network is an inevitable problem. Motivated by these challenges, in this paper we investigate physical layer security of cognitive mmWave wiretap networks, where the secondary transmitter (SU-Tx) sends confidential messages to a secondary receiver (SU-Rx) under the interference temperature constraint of a primary receiver (PU-Rx). Thereby, two different secure transmission schemes, namely complete transmission (CT) scheme and threshold-based (TB) scheme are introduced to investigate the reliability and security performance of SU-Rx. Specifically, under stochastic geometry framework, we derive closed-form expressions for the connection outage probability (COP), secrecy outage probability (SOP) and secrecy throughput (ST) to characterize the performance for both schemes. The numerical and analysis results reveal that the reliability and security of SU-Rx in both schemes can be balanced by the interference temperature constraint of PU-Rx. Besides, when the SU-Rx requires both security and reliability, TB scheme shows its superiority, and CT scheme is more suitable for the scenario where SU-Rx only requires higher security. INDEX TERMS Cognitive radio networks, millimeter wave, stochastic geometry, secrecy throughput.