In this paper, the wireless hierarchical federated learning (HFL) is revisited by considering physical layer security (PLS). First, we establish a framework for this new problem. Then, we propose a practical finite blocklength (FBL) coding scheme for the wireless HFL in the presence of PLS, which is self-secure when the coding blocklength is lager than a certain threshold. Finally, the study of this paper is further explained via numerical examples and simulation results.