We develop a new algorithm for activity detection for grant-free multiple access in distributed multiple-input multiple-output (MIMO). The algorithm is a distributed version of the approximate message passing (AMP) based on a soft combination of likelihood ratios computed independently at multiple access points. The underpinning theoretical basis of our algorithm is a new observation that we made about the state evolution in the AMP. Specifically, with a minimum mean-square error denoiser, the state maintains a block-diagonal structure whenever the covariance matrices of the signals have such a structure. We show by numerical examples that the algorithm outperforms competing schemes from the literature.