Multi-agent systems, where LLM agents communicate through free-form language, enable sophisticated coordination for solving complex cooperative tasks. This surfaces a unique safety problem when a group of agents forms a coalition and colludes to pursue secondary goals and degrade the joint objective. In this paper, we present Colosseum, a framework for auditing LLM agents' collusive behavior in multi-agent settings. We ground how agents cooperate through a formal multi-agent decision-making framework and measure action-based collusive behavior in actions via regret relative to the cooperative optimum and compare it with communication-based collusive behavior. Colosseum enables audits of LLM agents for collusion under benign settings, different coalition objectives, persuasion tactics, and network topologies. We then introduce a new behavioral probe by creating secret communication channels between agents, showing that most out-of-the-box models exhibit a propensity to collude under this probe, which we term emergent collusion. Furthermore, we discover ``collusion on paper'' when agents plan to collude in text but often pick non-collusive actions. Colosseum provides a new way to audit collusion in cooperative multi-agent systems while presenting observations about how collusion emerges, what affects collusion efficacy, and which strategies may mitigate it.