This paper presents a novel game theoretic attack-defence decision making framework for cyber-physical system (CPS) security. Game theory is a powerful tool to analyse the interaction between the attacker and the defender in such scenarios. In the formulation of games, participants are usually assumed to be rational. They will always choose the action to pursuit maximum payoff according to the knowledge of the strategic situation they are in. However, in reality the capacity of rationality is often bounded by the level of intelligence, computational resources and the amount of available information. This paper formulates the concept of bounded rationality into the decision making process, in order to optimise the defender's strategy considering that the defender and the attacker have incomplete information of each other and limited computational capacity. Under the proposed framework, the defender can often benefit from deviating from the minimax Nash Equilibrium strategy, the theoretically expected outcome of rational game playing. Numerical results are presented and discussed in order to demonstrate the proposed technique.