New technologies based on artificial agents promise to change the next generation of autonomous systems and therefore our interaction with them. Systems based on artificial agents such as self-driving cars and social robots are examples of this technology that is seeking to improve the quality of people's life. Cognitive architectures aim to create some of the most challenging artificial agents commonly known as bio-inspired cognitive agents. This type of artificial agent seeks to embody human-like intelligence in order to operate and solve problems in the real world as humans do. Moreover, some cognitive architectures such as Soar, LIDA, ACT-R, and iCub try to be fundamental architectures for the Artificial General Intelligence model of human cognition. Therefore, researchers in the machine ethics field face ethical questions related to what mechanisms an artificial agent must have for making moral decisions in order to ensure that their actions are always ethically right. This paper aims to identify some challenges that researchers need to solve in order to create ethical cognitive architectures. These cognitive architectures are characterized by the capacity to endow artificial agents with appropriate mechanisms to exhibit explicit ethical behavior. Additionally, we offer some reasons to develop ethical cognitive architectures. We hope that this study can be useful to guide future research on ethical cognitive architectures.