The present invention relates to a method of performing a handover procedure by a user equipment (UE) in a wireless communication system. Especially, the method includes the steps of receiving a handover command containing information about at least one COUNT value from a first network; establishing a first Packet Data Convergence Protocol (PDCP) entity associated with a second network while maintaining a second PDCP entity associated with the first network; performing a random access procedure with the second network; and based on a handover failure with the second network being detected, transmitting a message for informing the handover failure to the first network with setting at least one state variable for the first PDCP entity according to the at least one COUNT value.