User active authentication on mobile devices aims to learn a model that can correctly recognize the enrolled user based on device sensor information. Due to lack of negative class data, it is often modeled as a one-class classification problem. In practice, mobile devices are connected to a central server, e.g, all android-based devices are connected to Google server through internet. This device-server structure can be exploited by recently proposed Federated Learning (FL) and Split Learning (SL) frameworks to perform collaborative learning over the data distributed among multiple devices. Using FL/SL frameworks, we can alleviate the lack of negative data problem by training a user authentication model over multiple user data distributed across devices. To this end, we propose a novel user active authentication training, termed as Federated Active Authentication (FAA), that utilizes the principles of FL/SL. We first show that existing FL/SL methods are suboptimal for FAA as they rely on the data to be distributed homogeneously (i.e. IID) across devices, which is not true in the case of FAA. Subsequently, we propose a novel method that is able to tackle heterogeneous/non-IID distribution of data in FAA. Specifically, we first extract feature statistics such as mean and variance corresponding to data from each user which are later combined in a central server to learn a multi-class classifier and sent back to the individual devices. We conduct extensive experiments using three active authentication benchmark datasets (MOBIO, UMDAA-01, UMDAA-02) and show that such approach performs better than state-of-the-art one-class based FAA methods and is also able to outperform traditional FL/SL methods.