The paper presents relation and similarities between two existential authors: Kierkegaard and Shestov. The works of these two philosophers rises from the concern about the situation of a modern man. Kierkegaard in his famous conception of three types of existence gives a vivid picture of dangers which await for a human being. Shestov sees the danger for authenticity of the human being in higher and higher development of the idea of ratio in his days. The reason force human existence to be his only and one God. But for these two existential philosophers a man needs to be free – which means to be conscious and to choose with knowing consequences. Thus they call – paradoxically – sola fi de in order to oppose against those – in their opinion – demonical forces which make existence miserable.