This paper investigates the physical layer security in heterogeneous networks (HetNets) supported by simultaneous wireless information and power transfer (SWIPT). We first consider a two-tier HetNet composed of a macrocell and several femtocells, where the macrocell base station (BS) serves multiple users in the presence of a malicious eavesdropper, while each femtocell BS serves a couple of Internet-of-Things (IoT) users. With regard to the energy constraint of IoT users, SWIPT is performed at the femtocell BSs, and IoT users accomplish the reception of information and energy in a time-switching manner, where information secrecy is to be protected. To enhance the secrecy performance, we inject artificial noise (AN) into the transmit beam at both macrocell and femtocell BSs, and for the sake of achieving green communications, we formulate the problem of maximizing secrecy energy efficiency while considering the fairness in a cross-tier multi-cell coordinated beamforming (MCBF) design. To handle this resulting nonconvex max-min fractional program problem, we propose an iterative algorithm by applying successive convex approximation method. Then, we further develop a decentralized solution based on alternative direction multiplier method (ADMM), which reduces the overhead of information exchange among coordinated BSs and achieves good approximation performance. Finally, simulation results demonstrate the performance of the proposed AN-aided cross-tier MCBF design and verify the validity of distributed ADMM-based approach.