The increased adoption of sophisticated Cyber Physical Systems (CPS) in critical infrastructure and various aspects of Industry 4.0 has exposed vulnerabilities stemming from legacy CPS and Industrial Internet of Things (IIoT) devices. The interconnectedness nature of these systems have been severely affected in the event of a successful attack by Advanced Persistent Threats (APT), as evidenced by the Colonial Pipeline and the Stuxnet attacks. This paper explores the application of Digital Twins for cyber security, a promising technology that addresses the multifaceted issues in Industry 4.0. Therefore, this paper first presents a summary of the state-of-the-art on several related topics, including CPS security, APT and mitigation, and Digital Twins for cyber security. Then, it discusses how Digital Twins have been used to address the current research limitations on APT detection, including attack detection, attack coverage, dataset collection and usage. Finally, a brief discussion of the future research directions will be provided.