To address the global health threat of antimicrobial resistance, antimicrobial peptides (AMP) are being explored for their potent and promising ability to fight resistant pathogens. While artificial intelligence (AI) is being employed to advance AMP discovery and design, most AMP design models struggle to balance key goals like activity, toxicity, and novelty, using rigid or unclear scoring methods that make results hard to interpret and optimize. As the capabilities of Large Language Models (LLM) advance and evolve swiftly, we turn to AI multi-agent collaboration based on such models (multi-agent LLMs), which show rapidly rising potential in complex scientific design scenarios. Based on this, we introduce MAC-AMP, a closed-loop multi-agent collaboration (MAC) system for multi-objective AMP design. The system implements a fully autonomous simulated peer review-adaptive reinforcement learning framework that requires only a task description and example dataset to design novel AMPs. The novelty of our work lies in introducing a closed-loop multi-agent system for AMP design, with cross-domain transferability, that supports multi-objective optimization while remaining explainable rather than a 'black box'. Experiments show that MAC-AMP outperforms other AMP generative models by effectively optimizing AMP generation for multiple key molecular properties, demonstrating exceptional results in antibacterial activity, AMP likeliness, toxicity compliance, and structural reliability.