Federated Knowledge Graphs Embedding learning (FKGE) encounters challenges in communication efficiency stemming from the considerable size of parameters and extensive communication rounds. However, existing FKGE methods only focus on reducing communication rounds by conducting multiple rounds of local training in each communication round, and ignore reducing the size of parameters transmitted within each communication round. To tackle the problem, we first find that universal reduction in embedding precision across all entities during compression can significantly impede convergence speed, underscoring the importance of maintaining embedding precision. We then propose bidirectional communication-efficient FedS based on Entity-Wise Top-K Sparsification strategy. During upload, clients dynamically identify and upload only the Top-K entity embeddings with the greater changes to the server. During download, the server first performs personalized embedding aggregation for each client. It then identifies and transmits the Top-K aggregated embeddings to each client. Besides, an Intermittent Synchronization Mechanism is used by FedS to mitigate negative effect of embedding inconsistency among shared entities of clients caused by heterogeneity of Federated Knowledge Graph. Extensive experiments across three datasets showcase that FedS significantly enhances communication efficiency with negligible (even no) performance degradation.