Directional modulation (DM), as an emerging promising physical layer security (PLS) technique at the transmitter side with the help of an antenna array, has developed rapidly over decades. In this study, a DM technique using a polarization sensitive array (PSA) to produce the modulation with different polarization states (PSs) at different directions is investigated. A PSA, as a vector sensor, can be employed for more effective DM for an additional degree of freedom (DOF) provided in the polarization domain. The polarization information can be exploited to transmit different data streams simultaneously at the same directions, same frequency, but with different PSs in the desired directions to increase the channel capacity, and with random PSs off the desired directions to enhance PLS. The proposed method has the capability of concurrently projecting independent signals into different specified spatial directions while simultaneously distorting signal constellation in all other directions. The symbol error rate (SER), secrecy rate, and the robustness of the proposed DM scheme are analyzed. Design examples for single- and multi-beam DM systems are also presented. Simulations corroborate that 1) the proposed method is more effective for PLS; 2) the proposed DM scheme is more power-efficient than the traditional artificial noise aided DM schemes; and 3) the channel capacity is significantly improved compared with conventional scalar antenna arrays.