We consider security issues in remote state estimation of Cyber-Physical Systems (CPS). A sensor node communicates with a remote estimator through a wireless channel which may be jammed by an external attacker. With energy constraints for both the sensor and the attacker, the interactive decision making process of when to send and when to attack is studied. We formulate a game-theoretic framework and prove that the optimal strategies for both sides constitute a Nash equilibrium of a zero-sum game. To tackle the computation complexity issues, we present a constraint-relaxed problem and provide corresponding solutions using Markov chain theory.