A terahertz Photonic Crystal Fiber(PCF) made of Cyclic-Olefin Copolymer(COC) with low absorption loss in terahertz band is designed to reduce the transmission loss. By full vector finite element method, the loss of terahertz PCF versus frequency is simulated and analyzed. Results show that the proposed fibers have much better transmission properties than metallic waveguides in terahertz band. Along with the fine flexibility to bend, they are of great importance in terahertz applications.