Real-world security scenarios sometimes involve multiple defenders: security agencies of two or more countries might patrol the same border areas, and domestic security agencies might also operate in the same locations when their areas of jurisdiction overlap. Motivated by these scenarios and the observation that uncoordinated movements of the defenders may lead to an inefficient defense, we introduce a model of multi-defender security games and explore the possibility of improving efficiency by coordinating the defenders — specifically, by pooling the defenders' resources and allocating them jointly. The model generalizes the standard model of Stackelberg security games, where a defender (now a group of defenders) allocates security resources to protect a set of targets, and an attacker picks the best target to attack. In particular, we are interested in the situation with heterogeneous defenders, who may value the same target differently. Our task is twofold. First, we need to develop a good understanding of the uncoordinated situation, as the baseline to be improved. To this end we formulate a new equilibrium concept, and prove that an equilibrium under this concept always exists and can be computed efficiently. Second, to coordinate the heterogeneous defenders we take a mechanism design perspective and aim to find a mechanism to generate joint resource allocation strategies. We seek a mechanism that improves the defenders' utilities upon the uncoordinated baseline, achieves Pareto efficiency, and incentivizes the defenders to report their true incentives and execute the recommended strategies. Our analysis establishes several impossibility results, which indicate the intrinsic difficulties of defense coordination. Specifically, we show that even the basic properties listed above are in conflict with each other: no mechanism can simultaneously satisfy them all, or even some proper subsets of them. In terms of positive results, we present mechanisms that satisfy all combinations of the properties that are not ruled out by our impossibility results, thereby providing a comprehensive profile of the mechanism design problem with respect to the properties considered.