Supervisory Control and Data Acquisition (SCADA) systems are essential for reliable communication and control of smart grids. However, in the cyber-physical realm, it becomes highly vulnerable to cyber-attacks like False Data Injection (FDI) into the measurement signal which can circumvent the conventional detection methods and interfere with the normal operation of grids, which in turn could potentially lead to huge financial losses and can have a large impact on public safety. It is imperative to have an accurate state estimation of power consumption for further operational decision-making. This work presents novel forecasting-aided anomaly detection using an CNN-LSTM based auto-encoder sequence to sequence architecture to combat against false data injection attacks. We further present an adaptive optimal threshold based on the consumption patterns to identify abnormal behaviour. Evaluation is performed on real-time energy demand consumption data collected from the Australian Energy Market Operator. An extensive experiment shows that the proposed model outperforms other benchmark algorithms in not only improving the data injection attack (95.43%) but also significantly reducing the false positive rate.