In this letter, we consider a multiple-input multiple-output (MIMO) simultaneous wireless information and power transfer (SWIPT) system, in which the confidential message intended for the information receiver (IR) should be kept secret from the energy receiver (ER). Our goal is to design the optimal transmit covariance matrix so as to maximize the secrecy energy efficiency (SEE) of the system while guaranteeing the secrecy rate, energy harvesting and transmit power constraints. To deal with the original non-convex optimization problem, we propose an alternating optimization (AO)- based algorithm and also prove its convergence. Simulation results show that the proposed algorithm outperforms conventional design methods in terms of SEE.