Active galactic nuclei (AGN) can launch and sustain powerful winds featuring mildly relativistic velocity and wide opening angle. Such winds, known as ultra-fast outflows (UFOs), can develop a bubble structure characterized by a forward shock expanding in the host galaxy and a wind termination shock separating the fast cool wind from the hot shocked wind. In this work we explore whether diffusive shock acceleration can take place efficiently at the wind termination shock of UFOs. We calculate the spectrum of accelerated particles and find that protons can be energized up to the EeV range promoting UFOs to promising candidates for accelerating ultra-high energy cosmic rays (UHECRs). We also compute the associated gamma-ray and neutrino fluxe...