Predicting anomalies (e.g., blocked driveway and vehicle collisions) in urban space plays an important role in assisting governments and communities for building smart city applications, ranging from intelligent transportation to public safety. However, predicting urban anomalies is not trivial due to the following two factors: i) The sequential transition regularities of anomaly occurrences is complex, which exhibit with high-order and dynamic correlations. ii) The Interactions between region, time and anomaly category is multi-dimensional in real-world urban anomaly forecasting scenario. How to fuse multiple relations from spatial, temporal and categorical dimensions in the predictive framework remains a significant challenge. To address these two challenges, we propose a Cross-Interaction Hierarchical Attention network model (CHAT) which uncovers the dynamic occurrence patterns of time-stamped urban anomaly data. Our CHAT framework could automatically capture the relevance of past anomaly occurrences across different time steps, and discriminates which types of cross-modal interactions are more important for making future predictions. Experiment results demonstrate the superiority of CHAT framework over state-of-the-art baselines.