Short version: not possible at all, sorry!
Long version: Windows does not make that information available. When an application registers a hotkey, Windows keeps track of the hotkey and the application internally. However, there is no way to ask Windows about that data. The only way to figure out which application a particular hotkey belongs to is to exit one application at a time and see which hotkeys become available after that application was closed.
The only thing ActiveHotkeys could do here is to compare the “before” and “after” lists of registered hotkeys, so that finding the hotkey that became unregistered when an application closed would be easier. Absent such a feature, this can already be done by saving results to file and using a comparison program to find how the two lists differ.
If you find a way, please post a comment or earn some karma at StackOverflow.