Recently, a new concept called multiplicative differential cryptanalysis and the corresponding $c$-differential uniformity were introduced by Ellingsen et al.~\cite{Ellingsen2020}, and then some low differential uniformity functions were constructed. In this paper, we further study the constructions of perfect $c$-nonlinear (PcN) power functions. First, we give a necessary and sufficient condition for the Gold function to be PcN and a conjecture on all power functions to be PcN over $\gf(2^m)$. Second, several classes of PcN power functions are obtained over finite fields of odd characteristic for $c=-1$ and our theorems generalize some results in~\cite{Bartoli,Hasan,Zha2020}. Finally, the $c$-differential spectrum of a class of almost perfect $c$-nonlinear (APcN) power functions is determined.