diff --git a/doc/source/whatsnew/v0.20.0.txt b/doc/source/whatsnew/v0.20.0.txt
index e7b2fc5a6505d..0b13d78f0377e 100644
--- a/doc/source/whatsnew/v0.20.0.txt
+++ b/doc/source/whatsnew/v0.20.0.txt
@@ -300,3 +300,4 @@ Bug Fixes
 - Bug in ``Series.unique()`` in which unsigned 64-bit integers were causing overflow (:issue:`14721`)
 - Require at least 0.23 version of cython to avoid problems with character encodings (:issue:`14699`)
 - Bug in converting object elements of array-like objects to unsigned 64-bit integers (:issue:`4471`)
+- Bug in ``pd.pivot_table()`` where no error was raised when values argument was not in the columns (:issue:`14938`)
diff --git a/pandas/tests/groupby/test_groupby.py b/pandas/tests/groupby/test_groupby.py
index f8d9d73590a60..f609de23d9189 100644
--- a/pandas/tests/groupby/test_groupby.py
+++ b/pandas/tests/groupby/test_groupby.py
@@ -5725,6 +5725,20 @@ def test_group_shift_with_null_key(self):
 
         assert_frame_equal(result, expected)
 
+    def test_pivot_table_values_key_error(self):
+        # This test is designed to replicate the error in issue #14938
+        df = pd.DataFrame({'eventDate':
+                           pd.date_range(pd.datetime.today(),
+                                         periods=20, freq='M').tolist(),
+                           'thename': range(0, 20)})
+
+        df['year'] = df.set_index('eventDate').index.year
+        df['month'] = df.set_index('eventDate').index.month
+
+        with self.assertRaises(KeyError):
+            df.reset_index().pivot_table(index='year', columns='month',
+                                         values='badname', aggfunc='count')
+
     def test_agg_over_numpy_arrays(self):
         # GH 3788
         df = pd.DataFrame([[1, np.array([10, 20, 30])],
diff --git a/pandas/tools/pivot.py b/pandas/tools/pivot.py
index 820a545363ee3..0f56b0b076897 100644
--- a/pandas/tools/pivot.py
+++ b/pandas/tools/pivot.py
@@ -107,6 +107,11 @@ def pivot_table(data, values=None, index=None, columns=None, aggfunc='mean',
             values_multi = False
             values = [values]
 
+        # GH14938 Make sure value labels are in data
+        for i in values:
+            if i not in data:
+                raise KeyError(i)
+
         to_filter = []
         for x in keys + values:
             if isinstance(x, Grouper):