This paper focuses on the security issue in Cyber-Physical Systems. The sensor transmits the state estimation information to the remote controller via wireless networks. Due to the broadcast characteristics of wireless communication, the systems are vulnerable to the eavesdropping attacks and jamming attacks. In this paper, we study how to maximize the secure transmission rate between sensors and controller with the presence of malicious eavesdropper and jammer. The malicious jammer is smart and can choose the optimal power strategy to maximize the side effect with the knowledge of sensor's transmission power. When the sensor adjusts its transmission power to achieve the maximum utility, the control feedback is used to adjust the optimal strategy in CPS. We formulate this proposed problem as a Stackelberg game such that the optimal power allocation strategy is achieved. We further prove the existence of Stackelberg equilibrium by obtaining the interaction between the sensor and the jammer. To tackle this optimization problem, we present a stochastic algorithm with feedback (SAF) algorithm. As a result, the optimal transmission strategy is obtained. Finally, extensive simulations are presented to verify our theoretical analysis.