Flexibility markets are crucial for balancing the decentralised and renewable-driven energy landscape. This paper presents a security evaluation of a flexibility market system using a threat modelling approach. A reference architecture for a typical flexibility market system is proposed, and attack graph-driven simulations are performed to analyse potential attack pathways where malicious actors might infiltrate the system and the vulnerabilities they might exploit. Key findings include the identification of high-risk areas, such as the Internet links between market actors. To mitigate these risks, the paper proposes and evaluates multiple protection scenarios in reducing the identified attack vectors. The findings underline the importance of multi-layered security strategies to safeguard flexibility markets from increasingly sophisticated cyber threats.