module_load_include('inc', 'entity', 'includes/entity.controller');
global $user;

// Setup the values in the structure expected by the field_collection entity.
$values = array(
  'field_cnm_address_fname' => array(
    'und' => array(array('value' => $address['fname'])),
  ),
  'field_cnm_address_lname' => array(
    'und' => array(array('value' => $address['lname'])),
  ),
  'field_cnm_address_street1' => array(
    'und' => array(array('value' => $address['street1'])),
  ),
  …etc.
);

$entity = entity_create('field_collection_item', $values);
$entity->setHostEntity('user', $user);
$result = $entity->save();

//(field_collection.module, line 326)
$entity->{$this->field_name}[$this->langcode][] = array('entity' => $this);

$entity->setHostEntity('user', $user);

global $user;
  $values = array();
  // I think you missing field name of field collection.
  $values['field_name'] = 'field_address';   // field collection name.
  $values['field_field_name'][LANGUAGE_NONE][0]['value'] = 'Mr';
  $values['field_last_name'][LANGUAGE_NONE][0]['value'] = 'D';
  $values['field_street'][LANGUAGE_NONE][0]['value'] = 'Vietnamese';
  $field_entity = entity_create('field_collection_item', $values);
  $field_entity->setHostEntity('user', $user);
  $field_entity->save();