Due to resolving the key escrow problem and public key authentication problem, certificateless public key cryptography has drawn many attentions from numerous scholars and experts in recent years and becomes a hotspot for cryptography research. Most recently, the scholars of He and Du proposed a forward secure certificateless proxy blind signature scheme. Through the security analysis on the forward secure certificateless proxy blind signature scheme proposed by He and Du, this paper points out that their scheme is still unable to satisfy unforgeability as they claimed due to its two security drawbacks, i.e., the forgery attack from the original signer and the forgery attack from the ordinary user. We also present the reason analysis on the potential reasons of insecurity. At the same time, we also make a detailed analysis on the computation cost from attacks, which show that the cost of attacks is low.