Wi-Fi has become the wireless networking standard that allows short- to medium-range device to connect without wires. For the last 20 year, the Wi-Fi technology has so pervasive that most devices in use today are mobile and connect to the internet through Wi-Fi. Unlike wired network, a wireless network lacks a clear boundary, which leads to significant Wi-Fi network security concerns, especially because the current security measures are prone to several types of intrusion. To address this problem, machine learning and deep learning methods have been successfully developed to identify network attacks. However, collecting data to develop models is expensive and raises privacy concerns. The goal of this paper is to evaluate a federated learning approach that would alleviate such privacy concerns. This initial work on intrusion detection is performed in a simulated environment. Once proven feasible, this process would allow edge devices to collaboratively update global anomaly detection models, without sharing sensitive training data. On a set of tests with the AWID intrusion detection data set, we show that our federated approach is effective in terms of classification accuracy, computation cost, as well as communication cost.