This paper investigates the distributed event-triggered cooperative output regulation problem for heterogeneous linear continuous-time multi-agent systems (MASs). To eliminate the requirement of continuous communication among interacting following agents, an event-triggered adaptive distributed observer is skillfully devised. Furthermore, a class of closed-loop estimators is constructed and implemented on each agent such that the triggering times on each agent can be significantly reduced while at the same time the desired control performance can be preserved. Compared with the existing open-loop estimators, the proposed estimators can provide more accurate state estimates during each triggering period. It is further shown that the concerned cooperative output regulation problem can be effectively resolved under the proposed control scheme and the undesirable Zeno behavior can be excluded. Finally, the effectiveness of the proposed results is verified by numerical simulations.