Recent IoT proliferation has undeniably affected the way organizational activities and business procedures take place within several IoT domains such as smart manufacturing, food supply chain, intelligent transportation systems, medical care infrastructures etc. The number of the interconnected edge devices has dramatically increased, creating a huge volume of transferred data susceptible to leakage, modification or disruption, ultimately affecting the security level, robustness and QoS of the attacked IoT ecosystem. In an attempt to prevent or mitigate network abnormalities while accommodating the cohesiveness among the involved entities, modeling their interrelations and incorporating their structural, content and temporal attributes, graph-based anomaly detection solutions have been repeatedly adopted. In this article we propose, a multi-agent system, with each agent implementing a Graph Neural Network, in order to exploit the collaborative and cooperative nature of intelligent agents for anomaly detection. To this end, against the propagating nature of cyber-attacks such as the Distributed Denial-of-Service (DDoS), we propose a distributed detection scheme, which aims to monitor efficiently