A proxy signature enables the original signer to delegate her signing capability to a proxy entity, who signs a message on behalf of the original signer. In this paper, we discuss the necessity of a secure channel in proxy signatures. Though establishing a secure channel has much influence on the efficiency of the scheme, to the best of our knowledge, this topic has not been discussed before. All known proxy signatures used a secure channel to deliver a signed warrant except one which used a 3-pass weak blind signature. However, the KPW scheme  appeared to be secure without the secure channel. We think that our result can contribute to designing more efficient proxy signature scheme.