Weakly supervised video anomaly detection (WSVAD) presents a challenging task focused on detecting frame-level anomalies using only video-level labels. However, existing methods focus mainly on visual modalities, neglecting rich multi-modality information. This paper proposes a novel framework, Cross-Modality Heterogeneous Knowledge Fusion (CMHKF), that integrates cross-modality knowledge from video, audio, and text to improve anomaly detection and localization. To achieve adaptive cross-modality heterogeneous knowledge learning, we designed two components: Cross-Modality Video-Text Knowledge Alignment (CVKA) and Audio Modality Feature Adaptive Extraction (AFAE). They extract and aggregate features by exploring inter-modality correlations. By leveraging abundant cross-modality knowledge, our approach improves the discrimination between normal and anomalous segments. Extensive experiments on XD-Violence show our method significantly enhances accuracy and robustness in both coarse-grained and fine-grained anomaly detection.