Recent studies show that in interdependent networks a very small failure in one network may lead to catastrophic consequences. Above a critical fraction of interdependent nodes, even a single node failure can invoke cascading failures that may abruptly fragment the system, whereas below this critical dependency a failure of a few nodes leads only to a small amount of damage to the system. So far, research has focused on interdependent random networks without space limitations. However, many real systems, such as power grids and the Internet, are not random but are spatially embedded. Here we analytically and numerically study the stability of interdependent spatially embedded networks modeled as lattice networks. Surprisingly, we find that in lattice systems, in contrast to non-embedded systems, there is no critical dependency and any small fraction of interdependent nodes leads to an abrupt collapse.We show that this extreme vulnerability of very weakly coupled lattices is a consequence of the critical exponent describing the percolation transition of a single lattice. In addition, we introduce a new concept of spatially embedded networks, "dependency length", leading to surprising effects on the system's stability under random failures and under local attacks.