Vulnerable populations may have had a different behavioral response to the COVID-19 pandemic. We investigate the association between the threat perception of COVID-19 and the use of face masks, and its stratification along the lines of vulnerability. We leverage data from a large cross-national online survey, the "COVID-19 Health Behavior Survey" (CHBS), that we conducted on Facebook via targeted advertisements. Specifically, we analysed a sample of 91,376 completed questionnaires collected from March 13 to May 7, 2020 in seven European countries and in the United States. We found evidence that both the adoption of face masks and the threat perception to oneself were higher among the vulnerable segments of the populations, especially for those with a comorbidity, those who had been vaccinated for influenza, and older adults. Overall, we estimated that individuals who perceived a high threat of COVID-19 to themselves were 2.25 times (95% CI: 1.94-2.60) more likely to wear a face mask than those with lower threat perception. Our results also show how vulnerabilities can accumulate, leading to higher levels of threat perception and protective behavior against the virus.