This paper studies physical layer security of the multi-cell cellular networks, where the base stations need to perform cooperation beamforming in selected subcarriers to secure the downlink communication, and eavesdroppers with random location are interfered by inter-cell interference. Firstly, the approximation for the secrecy connection probability with uncertained locations of eavesdroppers is obtained. Then a distributed coalition game based cooperation algorithm is proposed to maximize the secrecy connection probability of downlinks. Specifically, the downlink is modeled as game player, whose payoff is the secrecy connection probability in the selected coalition, the join and quit rules of coalitions are designed to make downlinks self-organizing form cooperative coalition and achieve the effective subcarrier allocation. Moreover, the convergence of the proposed coalition formation game is proved, theoretical analysis and simulation results show that the proposed algorithm can form a stable coalitional structure and results in a notable secure performance advantage relative to the traditional cooperation algorithms.