variance threshold, returning the names of the selected features
Use selector.get_support (Documentation).
This will give you a mask of the features that were selected and features that were discarded.
&gt;&gt;&gt; selector.get_support()
array([False,  True,  True, False])

And here is how you get your selected features indices
&gt;&gt;&gt; [ i for i, f in enumerate(selector.get_support()) if f ]
[1, 2]