High-dimensional data remains a pervasive challenge in machine learning, often undermining model interpretability and computational efficiency. While Large Language Models (LLMs) have shown promise for dimensionality reduction through feature selection, existing LLM-based approaches frequently lack structured reasoning and transparent justification for their decisions. This paper introduces LLM-FS-Agent, a novel multi-agent architecture designed for interpretable and robust feature selection. The system orchestrates a deliberative "debate" among multiple LLM agents, each assigned a specific role, enabling collective evaluation of feature relevance and generation of detailed justifications. We evaluate LLM-FS-Agent in the cybersecurity domain using the CIC-DIAD 2024 IoT intrusion detection dataset and compare its performance against strong baselines, including LLM-Select and traditional methods such as PCA. Experimental results demonstrate that LLM-FS-Agent consistently achieves superior or comparable classification performance while reducing downstream training time by an average of 46% (statistically significant improvement, p = 0.028 for XGBoost). These findings highlight that the proposed deliberative architecture enhances both decision transparency and computational efficiency, establishing LLM-FS-Agent as a practical and reliable solution for real-world applications.