Heavy neutral leptons $N$ are the most appealing candidates to generate the tiny neutrino masses. In this paper, we study the signature of heavy neutral leptons in gauged $U(1)_{L_\mu-L_\tau}$ at a muon collider. Charged under the $U(1)_{L_\mu-L_\tau}$ symmetry, the heavy neutral leptons can be pair produced via the new gauge boson $Z'$ at muon collider as $\mu^+\mu^-\to Z^{\prime *}\to NN$ and $\mu^+\mu^-\to Z^{\prime (*)} \gamma\to NN\gamma$. We then perform a detailed analysis on the lepton number violation signature $\mu^+\mu^-\to NN\to \mu^\pm\mu^\pm W^\mp W^\mp$ and $\mu^+\mu^-\to NN \gamma\to \mu^\pm\mu^\pm W^\mp W^\mp \gamma$ at the 3 TeV muon collider, where the hadronic decays of $W$ boson are treated as fat-jets $J$. These lepton number violation signatures have quite clean backgrounds at the muon collider. Our simulation shows that a wide range of viable parameter space is within the reach of the 3 TeV muon collider. For instance, with new gauge coupling $g'=0.6$ and an integrated luminosity of 1000 fb$^{-1}$, the $\mu^\pm\mu^\pm JJ$ signal could probe $m_{Z'}\lesssim 13$ TeV. Meanwhile, if the gauge boson mass satisfies $2 m_N<m_{Z'}<\sqrt{s}$, the $\mu^\pm\mu^\pm JJ\gamma$ signature would be more promising than the $\mu^\pm\mu^\pm JJ$ signature. Content from this work may be used under the terms of the Creative Commons Attribution 3.0 licence. Any further distribution of this work must maintain attribution to the author(s) and the title of the work, journal citation and DOI. Article funded by SCOAP3 and published under licence by Chinese Physical Society and the Institute of High Energy Physics of the Chinese Academy of Science and the Institute of Modern Physics of the Chinese Academy of Sciences and IOP Publishing Ltd.