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Analysis of large volumes of data is very complex due to not only a high level of skewness and heteroscedasticity of variance but also the phenomenon of missing data. Expectile regression is a popular alternative method of analyzing heterogeneous data. In this paper, we consider fitting a linear expectile regression model for estimating conditional expectiles based on a large quantity of data with covariates missing at random. We construct a communication-efficient surrogate loss (CSL) function to estimate model parameters. The asymptotic normality of the proposed estimator is established. A proximal alternating direction method of multipliers (ADMM) algorithm is developed for distributed statistical optimization on a large quantity of data. Simulation studies are performed to assess the finite-sample performance of the proposed method. Survey data from the Behavioral Risk Factor Surveillance System (BRFSS) is used to demonstrate the utility of the proposed method in practice.