Quantum mechanics predicts that certain stationary potentials can sustain bound states with an energy buried in the continuous spectrum of scattered states, the so-called bound states in the continuum (BIC). Originally regarded as mathematical curiosities, BIC have found an increasing interest in recent years, particularly in quantum and classical transport of matter and optical waves in mesoscopic and photonic systems where the underlying potential can be judiciously tailored. Most of our knowledge of BIC is so far restricted to static potentials. Here we introduce a new kind of BIC, referred to as Floquet BIC, which corresponds to a normalizable Floquet state of a time-periodic Hamiltonian with a quasienergy embedded into the spectrum of Floquet scattered states. We discuss the appearance of Floquet BIC states in a tight-binding lattice model driven by an ac field in the proximity of the dynamic localization regime.