Much of the value that IoT (Internet-of-Things) devices bring to ``smart'' homes lies in their ability to automatically trigger other devices' actions: for example, a smart camera triggering a smart lock to unlock a door. Manually setting up these rules for smart devices or applications, however, is time-consuming and inefficient. Rule recommendation systems can automatically suggest rules for users by learning which rules are popular based on those previously deployed (e.g., in others' smart homes). Conventional recommendation formulations require a central server to record the rules used in many users' homes, which compromises their privacy. Moreover, these solutions typically leverage generic user-item matrix methods but do not fully exploit the structure of the rule recommendation problem. In this paper, we propose a new rule recommendation system, dubbed as FedRule, to address these challenges. One graph is constructed per user upon the rules s/he is using, and the rule recommendation is formulated as a link prediction task in these graphs. This formulation enables us to design a federated training algorithm that is able to keep users' data private. Extensive experiments corroborate our claims by demonstrating that FedRule has comparable performance to the centralized setting and outperforms conventional solutions.