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, while below this "critical dependency" (CD) a failure of few nodes leads only to small damage to the system. So far, the research has been 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. We analytically and numerically analyze the stability of systems consisting 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 CD 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. Our results are important for understanding the vulnerabilities and for designing robust interdependent spatial embedded networks.