The mmWave communication is a promising technique to enable human commutation and a large number of machine-type communications of massive data from various non-cellphone devices like Internet of Things (IoT) devices, autonomous vehicles and remotely controlled robots. For this reason, information security, in terms of the confidentiality, integrity and availability (CIA), becomes more important in the mmWave communication than ever since. The physical layer security (PLS), which is based on the information theory and focuses on the secrecy capacity of the wiretap channel model, is a cost effective and scalable technique to protect the CIA, compared with the traditional cryptographic techniques. In this paper, the theory foundation of PLS is briefly introduced together with the typical PLS performance metrics secrecy rate and outage probability. Then, the most typical PLS techniques for mmWave are introduced, analyzed and compared, which are classified into three major categories of directional modulation (DM), artificial noise (AN), and directional precoding (DPC). Finally, several mmWave PLS research problems are briefly discussed, including the low-complexity DM weight vector codebook construction, impact of phase shifter (PS) with finite precision on PLS, and DM-based communications for multiple target receivers.