URLLC is one category of service to be provided by next-generation wireless networks. Motivated by increasing security concerns in such networks, this article focuses on physical layer security in the context of URLLC. The physical layer security technique mainly uses transmission designs based on the intrinsic randomness of the wireless medium to achieve secrecy. As such, physical layer security is of a lower complexity and incurs less latency than traditional cryptography. In this article, we first introduce appropriate performance metrics for evaluating physical layer security in URLLC and investigate the trade-off between latency, reliability, and security. We then identify the key challenging problems for achieving physical layer security in URLLC, and discuss the role that channel state information can have in providing potential solutions to these problems. Finally, we present our recommendations on future research directions in this emerging area.