High-throughput technologies are becoming increasingly important in discovering prognostic biomarkers and in identifying novel drug targets. With Mammaprint, Oncotype DX, and many other prognostic molecular signatures breast cancer is one of the paradigmatic examples of the utility of high-throughput data to deliver prognostic biomarkers, that can be represented in a form of a rather short gene list. Such gene lists can be obtained as a set of features (genes) that are important for the decisions of a Machine Learning (ML) method applied to high-dimensional gene expression data. Several studies have identified predictive gene lists for patient prognosis in breast cancer, but these lists are unstable and have only a few genes in common. Instability of feature selection impedes biological interpretability: genes that are relevant for cancer pathology should be members of any predictive gene list obtained for the same clinical type of patients. Stability and interpretability of selected features can be improved by including information on molecular networks in ML methods. Graph Convolutional Neural Network (GCNN) is a contemporary deep learning approach applicable to gene expression data structured by a prior knowledge molecular network. Layer-wise Relevance Propagation (LRP) and SHapley Additive exPlanations (SHAP) are methods to explain individual decisions of deep learning models. We used both GCNN+LRP and GCNN+SHAP techniques to construct feature sets by aggregating individual explanations. We suggest a methodology to systematically and quantitatively analyze the stability, the impact on the classification performance, and the interpretability of the selected feature sets. We used this methodology to compare GCNN+LRP to GCNN+SHAP and to more classical ML-based feature selection approaches. Utilizing a large breast cancer gene expression dataset we show that, while feature selection with SHAP is useful in applications where selected features have to be impactful for classification performance, among all studied methods GCNN+LRP delivers the most stable (reproducible) and interpretable gene lists.