I struggle with this question and yet it seems important. I tend to have a pretty thick skin. I'm not afraid to take risks. I tend to have strong emotions and feel pretty comfortable expressing them around people that I know. I'm a relatively open person - not closed at all. Still, because I protect myself, I don't often feel vulnerable.
I remember when I was 6 years old, a school bully would sit on me at recess and do different things to try and make me cry. He wasn't able to do it. There was some incident later with a person who was a friend. Anyway, I don't remember what he did, but it was something that hurt my feelings. That did make me cry. The bully finds out about it and redoubles his efforts - still to no avail. I can laugh about it now but that story seems to illustrate a point on how I've gone through life. I seem to harden myself to being harmed by others. I don't like being in a situation where I'm at someone else's whim or mercy. When I am impacted in a negative way due to such a situation, it seems to impact me much more than other bad things that might happen. It may have something to do with a dominating mother or that, at times, I felt picked on as a child. I'm not sure. The key point, I suppose, is that when someone else can make decisions which could negatively impact or influence me, it makes me feel vulnerable. An example of this would be the trepidation I can sometimes feel around a client or a boss because they have power over me. This makes me feel uncomfortable. I want to be free, independent and outside unfair or negative influences. I am overly sensitive or defensive to criticism from such people. Economic motivations have played a role in my life, I believe, because financial resources give you freedom from outside influence. There is also something related to emotional vulnerability - not being accepted by others for who I am. I'm sensitive to rejection. It is selective though. There are many people where I could care less what they think about me. There are others however where it does matter.
In writing this, I'm not even sure if what I've put down here expresses what makes me feel truly vulnerable. What I know for sure is that the thought of being vulnerable makes me uncomfortable. I suppose that's one of the things that I like about this forum. It forces me to think about things that I would not normally consider. Faults are one thing. My list is a mile long. Somehow that feels different than admitting weakness. It is not something that I feel particularly comfortable with and therefore tend to avoid.