We propose a collaborative authentication protocol where multiple user devices (e.g., a smartphone, a smartwatch and a wristband) collaborate to authenticate the user to a third party service provider. Our protocol uses a threshold signature scheme as the main building block. The use of threshold signatures minimises the security threats in that the user devices only store shares of the signing key (i.e., the private key) and the private key is never reconstructed. For user devices that do not have secure storage capability (e.g., some wearables), we propose to use fuzzy extractors to generate their secret shares using behaviometric information when needed, so that there is no need for them to store any secret material. We discuss how to reshare the private key without reconstructing it in case a new device is added and how to repair shares that are lost due to device loss or damage. Our implementation results demonstrate the feasibility of the protocol.