We consider the problem of private computation of approximate Heavy Hitters. Alice and Bob each hold a vector and, in the vector sum, they want to find the B largest values along with their indices. While the exact problem requires linear communication, protocols in the literature solve this problem approximately using polynomial computation time, polylogarithmic communication, and constantly many rounds. We show how to solve the problem privately with comparable cost, in the sense that nothing is learned by Alice and Bob beyond what is implied by their input, the ideal top-B output, and goodness of approximation (equivalently, the Euclidean norm of the vector sum). We give lower bounds showing that the Euclidean norm must leak by any efficient algorithm.