These stories seem to come and go throughout Wales and the UK but many experts believe that it's highly likely that big cats have escaped or been released from captivity and are alive and well in the UK.
Indeed many were set free and subsequently shot after the Dangerous Animal Act was introduced in 1976. There are countless records of lynx and jungle cat being shot dead after attacks on chickens and sheep in the 1970s.
Big cats, most probably black leopard (black panther), puma and lynx have subsequently bred here and made our isolated forests and moorlands their home.
Interestingly though big cats are not a new phenomena in Wales and have been part of our own folklore for many hundreds of years.
The medieval Welsh poem 'Pa Gwr' mentions "Cath Palug" meaning 'Palug's cat' or 'clawing cat' which roamed Anglesey until it was slain by Cei - King Arthur's foster brother.
For many 100's of years, the myth of the spectral Black Dog was also common across Britain. It was often described as a large black animal and usually symbolised death.
Sightings have been documented all over Wales from Newport in the South East all the way up to Dolgellau in Southern Snowdonia as well as Mid Wales and Pembrokeshire in the west.
I actually interviewed big cat expert - Danny Nineham for a live web chat on this very subject some 8 or 9 years ago when I first joined BBC Wales.
Here is a guide to big cat paw prints from Danny's website.
This latest story comes from two farmers in Pembrokeshire, one of whom claims to have actually seen a big cat on his land with a lamb in its mouth as well as finding paw prints in the mud.
It does make you wonder why trained tracker dogs can't locate them though, doesn't it?
Watch a clip on this latest story on BBC News online.
As ever, I'd love to hear your thoughts on this sometimes controversial subject!