The use of big data has benefits for everyday life and can enhance various activities such as information collection, shopping, and education through the Internet; however, negative effects such as privacy infringements cannot be ignored. Concerns over data security and privacy violations are growing as a result of regular unsavory incidents such as data leakage and illegal sales on the Internet. This study applied the Extended Parallel Process Model (EPPM) which is a model explaining the persuasive effect of the fear message through the perceived threat and the perceived efficacy after exposure to the message. EPPM proposes that if the perceived threat and perceived efficacy are higher, the 'risk control process' that attempts to control the risk by implementing the suggested action of the fear appeal message are also higher; on the other hand, EPPM proposes that the ‘fear control process’ rejects the fear appeal message itself in situations of high perceived threat and low perceived efficacy. Focusing on the EPPM, this study attempted to study the effect of the privacy concerns of Chinese social media users in the context of advertising avoidance. In addition, perceived threat and efficacy were considered as factors that have a moderation effect on the relationship between privacy concerns and advertising avoidance. This study conducted an online survey of 678 Chinese social media users. There were two major findings. First, it was found that users’ privacy concerns on social media had a positive (+) effect on advertising avoidance. Second, in the relationship between the user privacy concerns and advertising avoidance on social media, the moderating effect of perceived threats and perceived efficacy was found to be significant. This study examined privacy concerns of social media users and verified the effect of privacy concerns on advertising. This study used the risk control and fear control processes in the EPPM to explain advertising avoidance. In addition, privacy concerns on social media, which has recently emerged as an issue, were assessed, and the effect of privacy concerns on advertising was verified. The findings of this study will be theoretically useful for further study of the problems related to privacy concerns. In addition, in practical terms, it is expected to be a necessary guideline for companies targeting Chinese consumers to establish advertising and marketing strategies on social media that users deem to be safe.