We empirically investigate a new notion: ambiguity vulnerability. Ambiguity vulnerability posits that individuals exhibit greater risk aversion in their decisions when faced with a background (beyond an individual's control) prospect that has unknown probabilities (background ambiguity) than one with known probabilities (background risk). We find empirical evidence of ambiguity vulnerability, with individuals investing 11% less when faced with background ambiguity compared to background risk. We empirically explore the relationship between utility shape and risk and ambiguity vulnerability and find that participants with both decreasing and non-decreasing risk aversion exhibit risk vulnerability.