In the computational detection of cyberbullying, existing work largely focused on building generic classifiers that rely exclusively on text analysis of social media sessions. Despite their empirical success, we argue that a critical missing piece is the model explainability, i.e., why a particular piece of media session is detected as cyberbullying. In this paper, therefore, we propose a novel deep model, HEterogeneous Neural Interaction Networks (HENIN), for explainable cyberbullying detection. HENIN contains the following components: a comment encoder, a post-comment co-attention sub-network, and session-session and post-post interaction extractors. Extensive experiments conducted on real datasets exhibit not only the promising performance of HENIN, but also highlight evidential comments so that one can understand why a media session is identified as cyberbullying.