Time series anomaly detection is an important research topic in the field of intelligent operation and maintenance. When software systems are frequently updated with continuous integration and deployment, the distribution of KPI data will also change, and the accuracy of anomaly detection models will inevitably decrease. To tackle this problem, we propose an active anomaly detection framework named Active-MTSAD suitable for multi-dimensional time series, combining unsupervised anomaly detection and active learning. The active learning module introduces three feedback strategies, namely denominator penalty, negative penalty, and metric learning, to learn new anomalous patterns under new data distribution. In metric learning, we consider the difference between normal and abnormal samples in reconstruction error and latent space. We conduct extensive experiments on a large-scale public dataset and a real-world dataset coming from Tencent. The experimental results show that Active-MTSAD can still achieve excellent performance in real scenarios where the distribution changes with only 0.2% of labels.