Although information privacy has been extensively investigated in the information systems discipline, research heavily focuses on cognitive frameworks and underestimates the influence of affect on users’ privacy behaviors. Psychological literature demonstrates that affect plays a significant role in individuals’ decisions in risky situations. This study aims to explore associations between cognitive factors, affective responses, and coping behaviors in the context of privacy threats. For this purpose, we conducted a laddering interview with 56 users of location-based services. Elements elicited by an emerging coding procedure were mapped by their causal relations as described in interviews. The results revealed idiosyncratic associations among privacy concerns, affects, and coping behaviors, which implies that privacy concerns can result in different coping behaviors according to the affects following the concern. Thus, the result suggests that cognition-affect appraisals can offer a reliable framework for explaining users’ privacy behaviors. This study proposes a new direction for the cognition-affect perspective in information privacy research by providing an alternative approach that reflects both cognition and affects to explain coping behaviors.