In the big data era, the sizes of datasets have increased dramatically in terms of the number of samples, features, and classes. In particular, there exists usually a hierarchical structure among the classes. This kind of task is called hierarchical classification. Various algorithms have been developed to select informative features for flat classification. However, these algorithms ignore the semantic hyponymy in the directory of hierarchical classes, and select a uniform subset of the features for all classes. In this paper, we propose a new technique for hierarchical feature selection based on recursive regularization. This algorithm takes the hierarchical information of the class structure into account. As opposed to flat feature selection, we select different feature subsets for each node in a hierarchical tree structure using the parent-children relationships and the sibling relationships for hierarchical regularization. By imposing $\ell_{2,1}$-norm regularization to different parts of the hierarchical classes, we can learn a sparse matrix for the feature ranking of each node. Extensive experiments on public datasets demonstrate the effectiveness of the proposed algorithm.