Multimodal Large Language Models (MLLMs) excel in diverse vision tasks, but full-parameter retraining is computationally expensive as real-world knowledge evolves. Existing continual learning methods often suffer from semantic entanglement in parameter spaces across tasks, impeding the continuous deployment of models. This challenge is especially pronounced in Anomaly Detection (AD), which exhibits triple heterogeneity across modalities, domains, and defect scale variability, significantly complicating multi-task knowledge transfer. In this paper, we propose CL-Anomaly, a parameter-efficient fine-tuning framework based on an isolation-sharing collaboration to enable continual learning for anomaly detection with MLLMs. We introduce the task-private expert PrivLoRA, which physically isolates task-specific subspaces in the parameter space to prevent semantic entanglement of anomaly knowledge in diverse scenarios. The Layer-Adaptive Shared Experts maintain cross-task representations within a unified feature space, enabling knowledge sharing between previous and new tasks. Furthermore, we propose a Layer-Adaptive Knowledge Transfer strategy that automatically selects and dynamically updates the layer-wise key shared experts of each task via a momentum-based mechanism, promoting effective knowledge transfer across related anomaly detection tasks. Extensive experiments across three continual learning scenarios for anomaly detection, including class-incremental, cross-domain, and cross-modal, demonstrate that CL-Anomaly outperforms state-of-the-art methods. Code is available at https://github.com/WenDongyp/CL-Anomaly.