The issue is this corner case:
 

>>> idx = []
>>> x = np.array([])
>>> x[idx]  #works
array([], dtype=float64)
>>> x[:, idx]  #works
array([], dtype=float64)

>>> x = np.ones((5,0))
>>> x[idx]  #works
array([], shape=(0, 0), dtype=float64)
>>> x[:, idx]  #doesn't work
Traceback (most recent call last):
  File "<ipython-input-27-7038691cb565>", line 1, in <module>
    x[:, idx]  #doesn't work
IndexError: invalid index