We investigate an artificial noise (AN) aided beamforming scheme for full-duplex amplify-and-forward relay network in the presence of multiple untrusted energy harvesting receivers (EHRs). We establish an optimization problem to maximize the secrecy energy efficiency (SEE), while meeting the self-interference nulling and transmit power constraints at relay as well as maintaining the energy harvesting threshold at the EHRs by jointly designing the relay beamforming (BF) and AN covariance matrices. Due to the non-convex structure of the SEE maximization problem, we first design a null-space BF scheme at relay to eliminate the SI and simplify the joint optimization and then propose an iterative algorithm to achieve a local optimum based on the penalty function and the successive convex approximation methods. Numerical results are provided to validate the effectiveness of our proposed design.