This paper proposes a state estimator for large-scale linear systems described by the interaction of state-coupled subsystems affected by bounded disturbances. We equip each subsystem with a Local State Estimator (LSE) for the reconstruction of the subsystem states using pieces of information from parent subsystems only. Moreover we provide conditions guaranteeing that the estimation errors are confined into prescribed polyhedral sets and converge to zero in absence of disturbances. Quite remarkably, the design of an LSE is recast into an optimization problem that requires data from the corresponding subsystem and its parents only. This allows one to synthesize LSEs in a Plug-and-Play (PnP) fashion, i.e. when a subsystem gets added, the update of the whole estimator requires at most the design of an LSE for the subsystem and its parents. Theoretical results are backed up by numerical experiments on a mechanical system.