Defects play a significant role in optical properties of semiconducting two-dimensional transition metal dichalcogenides (TMDCs). In ultra-thin MoSe2, a remarkable feature at ~250 cm-1 in Raman spectra is ascribed to be a defect-related mode. Recent attempts failed to explain the origin of this peak, leaving it being a mystery. Here in this work, we demonstrate that this peak is a Se vacancy induced defect mode. Heat effect and hydrogen etching are two main factors to introduce Se vacancies in CVD process of growing MoSe2. A phonon confinement model can well explain the behaviors of intrinsic Raman modes. Density functional theory (DFT) calculation reveals that single Se vacancy (VSe) is responsible for the appearance of Raman peak at ~250 cm-1 and this mode is an A1g-like localized mode which is also confirmed by polarized Raman scattering experiment. The relative strength of this mode can be a characterization of the quality of 2D MoSe2. This work may offer a simple method to tailor chalcogenide vacancies in 2D TMDCs and provide a way to study their vibrational properties.