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Since the concept of proxy signature was introduced in 1996, many variants of proxy signature schemes have been proposed. Among of them, the requirement of proxy signer's privacy protection and the revocation of proxy signer's anonymous identity are needful in some practical applications. Recently, Hu et.al gave a new type of proxy ring signature scheme with revocable anonymity, it allows the original signer to know exactly who is the actual proxy signer, but it is anonymous for the others. if necessary, the original signer can also revoke the anonymous identity of proxy signer. Unfortunately, in this paper, by analyzing the scheme, we show that the scheme is not secure against unforgeability attack; at the same time, it cannot also revoke anonymity of proxy signer's identity. Finally, we give the corresponding attacks on the scheme and the reasons to produce suck attacks.