• Start up a small sharded cluster with authentication.
• Add an admin user and make sure that user can authenticate
• Run mongostat -u <user> -p <password>

Here's and example of what happens:

$ mongostat -u theadmin -p mypassword
connected to: 127.0.0.1
error:

$ mongostat --username theadmin --password mypassword
connected to: 127.0.0.1
error:

$ mongo
MongoDB shell version: 2.0.0-rc0-pre-
connecting to: test
> use admin
switched to db admin
> db.auth('theadmin', 'mypassword')
1

Maybe I'm missing something obvious.