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Identifying anomalies has become one of the primary strategies towards security and protection procedures in computer networks. In this context, machine learning-based methods emerge as an elegant solution to identify such scenarios and learn irrelevant information so that a reduction in the identification time and possible gain in accuracy can be obtained. This paper proposes a novel feature selection approach called Finite Element Machines for Feature Selection (FEMa-FS), which uses the framework of finite elements to identify the most relevant information from a given dataset. Although FEMa-FS can be applied to any application domain, it has been evaluated in the context of anomaly detection in computer networks. The outcomes over two datasets showed promising results.