In this paper, we study how to defend against full-duplex active eavesdropping attacks in the cooperative communication system. Unlike passive eavesdropping attackers, a full-duplex active eavesdropper acts as both a jammer and a classical eavesdropper in full-duplex mode, and seeks to maximize eavesdropping. Furthermore, in a real-world network, the relays may be selfish and have their own objectives due to competing/limited resources. This may lead to the failure of cooperative communication if there is no incentive to stimulate relays to participate in forwarding the transmitter's messages. Therefore, in this paper, we propose a three-stage Stackelberg game approach to model the behaviors of attacker, and the competitions among the transmitter, relays and attacker. Through finding the Stackelberg equilibrium of our scheme, the legitimate users can achieve cooperative communication to improve the secrecy capacity and to defend against full-duplex active eavesdropping attacks. Findings from the evaluations demonstrate that with an increasing number of channels, our scheme can significantly reduce the intercept probability; therefore, the security performance is improved. It is shown that our scheme can greatly improve the utilities of both the transmitter and multiple relays over the results of the Nash equilibrium scheme and rand power control scheme, which means that the relays are more willing to participate in the cooperative communication, and the transmitter can achieve better secure transmission in our scheme. We also demonstrate that our scheme outperforms other existing schemes, i.e., power control with smart jamming game in a single-channel model/multiple-channel model.