Billions of IoT devices are connected to networks all around us, enabling cyber-physical systems. These devices can carry and generate user-sensitive data, examples of such devices are smartwatches, medical equipment, and smart home gadgets. Individual IoT devices have some form of intrusion detection system integrated, but once they are all connected, a network threat to one device could mean a threat to many. IoT devices must have a robust intrusion detection system that would keep devices secure over a network. To aid with this, we provide a machine learning solution that adheres to Global Data Protection Regulation by keeping the user data secure locally on the IoT device itself. We propose a Federated Learning (FL) approach that capitalizes on a decentralized and collaborative way of training machine learning models. In this study, we practice federated learning technique to train and create a robust intrusion detection model for the security of IoT devices. We evaluate our proposed approach using three different use-cases to show the security enhancements that improve using the FL technique, resulting in a more reliable performance in this domain.