Nowadays, the high-dimensionality of data causes a variety of problems in machine learning. It is necessary to reduce the feature number by selecting only the most relevant of them. Different approaches called Feature Selection are used for this task. In this paper, we propose a Feature Selection method that uses Swarm Intelligence techniques. Swarm Intelligence algorithms perform optimization by searching for optimal points in the search space. We show the usability of these techniques for solving Feature Selection and compare the performance of five major swarm algorithms: Particle Swarm Optimization, Artificial Bee Colony, Invasive Weed Optimization, Bat Algorithm, and Grey Wolf Optimizer. The accuracy of a decision tree classifier was used to evaluate the algorithms. It turned out that the dimension of the data can be reduced about two times without a loss in accuracy. Moreover, the accuracy increased when abandoning redundant features. Based on our experiments GWO turned out to be the best. It has the highest ranking on different datasets, and its average iteration number to find the best solution is 30.8. ABC obtained the lowest ranking on high-dimensional datasets.