Sometimes keeping your operating system fully patched is not enough. Malwarebytes have discovered active use of a Mac exploit that Apple have not yet patched (except in the OS X 10.11 beta).
To protect yourself, be cautious when downloading and running software on your Mac. The exploit can only work if you run a downloaded program, which can then exploit the vulnerability to gain full privileges on your system. And of course keep an eye out for a fix from Apple, and install it as soon as it is available.