mmWave radar enables human sensing in non-visual scenarios—e.g., through clothing or certain types of walls—where traditional cameras fail due to occlusion or privacy limitations. However, robust anomaly detection with mmWave remains challenging, as signal reflections are influenced by material properties, clutter, and multipath interference, producing complex, non-Gaussian distortions. Existing methods lack contextual awareness and misclassify benign signal variations as anomalies. We present mmAnomaly, a multi-modal anomaly detection framework that combines mmWave radar with RGBD input to incorporate visual context. Our system extracts semantic cues—such as scene geometry and material properties—using a fast ResNet-based classifier, and uses a conditional latent diffusion model to synthesize the expected mmWave spectrum for the given visual context. A dual-input comparison module then identifies spatial deviations between real and generated spectra to localize anomalies. We evaluate mmAnomaly on two multi-modal datasets across three applications: concealed weapon localization, through-wall intruder localization, and through-wall fall localization. The system achieves up to 94% F1 score and sub-meter localization error, demonstrating robust generalization across clothing, occlusions, and cluttered environments. These results establish mmAnomaly as an accurate and interpretable framework for context-aware anomaly detection in mmWave sensing.