In this paper, we investigate the problem of jammer selection for securing Cooperative Cognitive Radio Networks (CCRNs) with the Multiple-Input Multiple- Output (MIMO) capability. In the CCRN under our consideration, there exist a pair of Primary Users (PUs), a relay node, a number of Secondary User (SU) pairs, and an eavesdropper. The PUs need to select a pair of SUs as jammers to interfere with the eavesdropper so as to preserve the secrecy of their wireless communications. To address this problem, we propose an Optimal Stopping based Jammer Selection (OSJS) scheme. Specifically, OSJS examines the primary secrecy capacity for each candidate SU pair in a sequential order. The first SU pair that makes the primary secrecy capacity higher than an optimal threshold is selected as the jammers. The optimal threshold is calculated based on the distribution function of the primary secrecy capacity. We derive the distribution function from the chi-square distribution function of the Signal-to-Noise Ratio (SNR) under the MIMO channel conditions. Since our OSJS scheme does not have to check all the candidate SU pairs, much time can be saved for data transmissions. Our rigorous analysis and simulation results demonstrate that our proposed scheme can achieve secure communications with improved network throughput.