User modeling aims to capture the latent characteristics of users from their behaviors, and is widely applied in numerous applications. Usually, centralized user modeling suffers from the risk of privacy leakage. Instead, federated user modeling expects to provide a secure multi-client collaboration for user modeling through federated learning. Existing federated learning methods are mainly designed for consistent clients, which cannot be directly applied to practical scenarios, where different clients usually store inconsistent user data. Therefore, it is a crucial demand to design an appropriate federated solution that can better adapt to user modeling tasks, and however, meets following critical challenges: 1) Statistical heterogeneity. The distributions of user data in different clients are not always independently identically distributed which leads to personalized clients; 2) Privacy heterogeneity. User data contains both public and private information, which have different levels of privacy. It means we should balance different information to be shared and protected; 3) Model heterogeneity. The local user models trained with client records are heterogeneous which need flexible aggregation in the server. In this paper, we propose a novel client-server architecture framework, namely Hierarchical Personalized Federated Learning (HPFL) to serve federated learning in user modeling with inconsistent clients. In the framework, we first define hierarchical information to finely partition the data with privacy heterogeneity. On this basis, the client trains a user model which contains different components designed for the hierarchical information. Moreover, client processes a fine-grained personalized update strategy to update personalized user model for statistical heterogeneity. Correspondingly, the server completes a differentiated component aggregation strategy to flexibly aggregate heterogeneous user models in the case of privacy heterogeneity and model heterogeneity. Finally, we conduct extensive experiments on real-world datasets for principal user modeling tasks, which demonstrate the effectiveness of the HPFL framework.