The purpose of the establishment of Financial Services Authority is to control and supervise activities in the financial institutions, capital market, and other non-bank financial institutions. However, currently, there are lots of illegal investment practices, including illegal investments that occur in the capital market. This study aims to obtain information on how the role of the Financial Services Authority protects investors from illegal investments and what has been done by the Financial Services Authority to protect investors. The method used in writing this research is normative juridical where the research will use document studies as the basis for analysis and while the legal materials used are primary legal materials (which consist of statutory regulations such as the 1945 Constitution of the Republic of Indonesia, Law No. Number 21 of 2011 and the memorandum of agreement between the Financial Services Authority and several ministries and government agencies), secondary legal materials (in the form of books and journals) and tertiary legal materials (sourced from the internet and dictionaries). The conclusion of this paper is that the Financial Services Authority has formed an Investment Alert Task Force that can monitor transactions. The Financial Services Authority also has made several regulations that protect investors in the capital market. The implementation of these regulations can be seen from several illegal investment cases that have been handled by the Financial Services Authority. However, with the Investment Alert Task Force, the public has not been able to be completely free from illegal investment activities, especially in the capital market.