Graph neural networks (GNNs) have demonstrated strong performance in various data mining tasks but rely heavily on extensively labeled nodes. To improve training efficiency, graph active learning (GAL) has emerged as a solution for selecting the most informative nodes for labeling. However, existing GAL methods are primarily designed for homophilic graphs, and their performance on heterophilic graphs remains underexplored. In this work, we systematically study active learning on heterophilic graphs, a setting that has received limited attention. Surprisingly, we observe that existing GAL methods often fail to outperform naive random sampling on heterophilic graphs. Through an in-depth investigation, we reveal that these methods implicitly assume homophily even on heterophilic graphs, leading to suboptimal performance. To address this issue, we introduce the principle of Know Your Neighbors'' and propose an active learning algorithm KyN specifically for heterophilic graphs. The core idea of KyN is to provide GNNs with correct estimations of homophily distribution by labeling nodes together with their neighbors. We implement KyN based on subgraph sampling with probabilities proportional to $\ell_1$ Lewis weights, which is supported by solid theoretical guarantees. Extensive experiments on diverse real-world datasets, including a large heterophilic graph with over 2 million nodes, demonstrate the effectiveness and scalability of KyN.