Feature selection has been proven to be effective and efficient in preparing high-dimensional data for many mining and learning tasks. Features of real-world high-dimensional data such as words of documents, pixels of images and genes of microarray data, usually present inherent hierarchical structures. In a hierarchical structure, features could share certain properties. Such information has been exploited to help supervised feature selection but it is rarely investigated for unsupervised feature selection, which is challenging due to the lack of labels. Since real world data is often unlabeled, it is of practical importance to study the problem of feature selection with hierarchical structures in an unsupervised setting. In particular, we provide a principled method to exploit hierarchical structures of features and propose a novel framework HUFS, which utilizes the given hierarchical structures to help select features without labels. Experimental study on real-world datasets is conducted to assess the effectiveness of the proposed framework.