The security issue in collaborative sensing in cognitive radio networks can be modeled as attackers and secondary users in a jamming and anti-jamming scenario. In this paper, we introduce a stochastic zero-sum game model to study the strategies. Primary users, secondary users and jammers are the three types of agents in the system. The primary users dictate the system states and their transitions while the secondary users and jammers behave non-cooperatively to achieve their goals independently under different system environment. Our Markovian game model captures not only the zero-sum interactions between secondary users and the jammers but also the dynamics of the system. Our results indicate that the secondary users can enhance their security level or increase their long-term payoff by either improving their sensing capabilities to confuse the jammer with the choice or choosing to communicate under states where the available channels are less prone to jamming. In the numerical experiments, we point out that the payoff of the secondary users increases with the number of available jamming-free channels and is eventually limited by the behavior of primary users.