Technology is becoming more advanced and new technologies are being developed to improve and enhance business and everyday life. Unfortunately, new technologies carry the risk of cyber attacks. One of the most complex and still misunderstood attacks is Zero day. This paper is meant to provide insight into the complexity of the attack itself. What makes an attack a Zero day attack, how it starts, who is responsible for it, what are the consequences of this attack. Since this is a very complex attack that changes and becomes more sophisticated and advanced from day to day, there are given examples for better understanding. From slightly older attacks like Stuxnet and Duqu to newer attacks like Sunburst and an attack on a Microsoft Exchange server. Protection against cyber attacks is challenging and it depends on their complexity and sophistication. As for Zero day attacks, the most effective way of defending is to detect vulnerabilities before anybody and patching them. But people are still exploring the ways of detection and protection against Zero day attacks. This complexity and problematic are presented in this paper.