Attention module does not always help deep models learn causal features that are robust in any confounding context, e.g., a foreground object feature is invariant to different backgrounds. This is because the confounders trick the attention to capture spurious correlations that benefit the prediction when the training and testing data are IID (identical & independent distribution); while harm the prediction when the data are OOD (out-of-distribution). The sole fundamental solution to learn causal attention is by causal intervention, which requires additional annotations of the confounders, e.g., a dog model is learned within grass+dog and road+dog respectively, so the grass and road contexts will no longer confound the dog recognition. However, such annotation is not only prohibitively expensive, but also inherently problematic, as the confounders are elusive in nature. In this paper, we propose a causal attention module (CaaM) that self-annotates the confounders in unsupervised fashion. In particular, multiple CaaMs can be stacked and integrated in conventional attention CNN and self-attention Vision Transformer. In OOD settings, deep models with CaaM outperform those without it significantly; even in IID settings, the attention localization is also improved by CaaM, showing a great potential in applications that require robust visual saliency. Codes are available at url{https://github.com/Wangt-CN/CaaM}.