A $k$-regular graph is called a divisible design graph if its vertex set can be partitioned into $m$ classes of size $n$, such that two distinct vertices from the same class have exactly $λ_1$ common neighbours, and two vertices from different classes have exactly $λ_2$ common neighbours. In this paper, we find the vertex connectivity of some classes of divisible design graphs, in particular, we present examples of divisible design graphs, whose vertex connectivity is less than $k$, where $k$ is the degree of a vertex. We also show that the vertex connectivity a divisible design graphs may be less than $k$ by any power of 2.