This research assesses the determinants of Millennials protection motivation (or security intentions) on their actual use behavior when navigating online, considering the protective measures they adopt. Accordingly, we propose a model integrating variables from two widely accepted behavioral theories, the Protection Motivation Theory and the Reasoned Action Approach. An online survey was conducted, relying on the responses of 236 participants from different nationalities, which were analyzed through hierarchical multiple regression. Results show a gap between security intentions and use behavior and indicate safety habit strength and actual control as significant predictors of Millennials’ use behavior. By focusing not only on the users’ behavioral intentions but also on their actual use behavior, this research seeks to extend the previous literature on the topic.