Detecting anomalous inputs is essential in many mission-critical systems in various domains, particularly cybersecurity. In particular, deep neural network-based anomaly detection methods have been successful for anomaly detection tasks with the recent advancements in deep learning technology. Nevertheless, the existing methods have considered somewhat idealized problems where it is enough to learn a single detector based on a single dataset. In this paper, we consider a more practical problem where multiple hosts in an organization collect their input data, while data sharing among the hosts is prohibitive due to security reasons, and only a few of them have experienced abnormal inputs. Furthermore, the data distribution of the hosts can be skewed; for example, a particular type of input can be observed by a limited subset of hosts. We propose the federated hypersphere classifier (FHC), which is a new anomaly detection method based on an improved hypersphere classifier suited for running in the federated learning framework to perform anomaly detection in such an environment. Our experiments with image and network intrusion detection datasets show that our method outperforms the state-of-the-art anomaly detection methods trained in a host-wise fashion by learning a consensus model as if we have accessed the input data from all hosts but without communicating such data.