Feature selection plays a crucial role in classification problems, which tries to remove redundant or irrelevant features by mapping high-dimensional data to low-dimensional ones. Thus, this approach can improve the classification accuracy and reduce the computational cost to train the classification model. In this paper, we suggest an improved multi-objective immune algorithm (MOIA) for feature selection in intrusion detection. Specifically, the feature subsets for intrusion detection are treated as the individuals for immune optimization, which will select suitable feature subsets in order to reduce the dimensions of the dataset. After that, a neural network is used to train the classification model using the selected suitable feature subsets, and the output of the classification model is regarded as the target fitness value for each individual. As multiple attack types are considered in this paper, a traditional MOIA is modified by using an elite selection strategy based on the reference vectors, which can maintain the individuals with more promising performance when distinguishing more than five attack types in intrusion detection. By this way, the proposed algorithm can accelerate the convergence speed of classification, which also improves the classification accuracy. Experimental results on the NSL-KDD and UNSW-NB15 datasets validate the higher classification accuracy of the proposed algorithm.