With the emergence of Artificial Intelligence (AI) in Behavioural Finance decisions related to investment has transformed to a drastic extent which includes economic theories and psychological insights which comprehends irrational financial investment decisions among investors of the present. With the help of machine learning, predictive analysis and Natural Language Processing it has been possible to predict the psychological bias and analyse trading methods with human behaviour in account. Nevertheless the use of AI in behavioural finance has its own drawbacks like algorithmic bias, regulatory complexities, data privacy and volatility of the market associated to systematic risk and many more. This paper has made an attempt to explore the issues, challenges and opportunities that are associated with the using AI in investment behaviour. The paper addresses issues related to data privacy, algorithmic bias and also briefs on the challenges faced which includes ethical dilemmas, systematic risk of market etc. In the present scenario where the interaction between AI driven system, human financial advisors and Robo-advisory services are gaining prominence much more research emphasis are needed to determine how AI might complement human expertise than replace it leading to more hybrid decision models are required. Furthermore, the ethical challenges that AI develops is still a crucial area to be focussed by researchers on how data privacy and ethical investment standards could be safeguarded.