Colocation data centers are an important type of data centers that have some unique challenges in managing their energy consumption. Tenants in a colocation data center usually manage their servers independently without coordination, leading to inefficiency. To address this issue, we propose a formulation of coordinated energy management for colocation data centers. Considering the randomness of workload arrival and electricity cost function, we formulate it as a stochastic optimization problem, and then develop an online algorithm to solve it efficiently. Our algorithm is based on Lyapunov optimization, which only needs to track the instantaneous values of the underlying random factors without requiring any knowledge of the statistics or future information. Moreover, alternating direction method of multipliers (ADMM) is utilized to implement our algorithm in a decentralized way, making it easy to be implemented in practice. We analyze the performance of our online algorithm, proving that it is asymptotically optimal and robust to the statistics of the involved random factors. Moreover, extensive trace-based simulations are conducted to illustrate the effectiveness of our approach.