In many important application domains such as text categorization, biomolecular analysis, scene classification and medical diagnosis, examples are naturally associated with more than one class label, giving rise to multi-label classification problems. This fact has led, in recent years, to a substantial amount of research on feature selection methods that allow the identification of relevant and informative features for multi-label classification. However, the methods proposed for this task are scattered in the literature, with no common framework to describe them and to allow an objective comparison. Here, we revisit a categorization of existing multi-label classification methods and, as our main contribution, we provide a comprehensive survey and novel categorization of the feature selection techniques that have been created for the multi-label classification setting. We conclude this work with concrete suggestions for future research in multi-label feature selection which have been derived from our categorization and analysis.