We consider a cooperative wireless network comprised of a source, a destination and multiple relays operating in the presence of an eavesdropper, which attempts to tap the source-destination transmission. We propose multi-relay selection scheme for protecting the source against eavesdropping. More specifically, multi-relay selection allows multiple relays to simultaneously forward the source's transmission to the destination, differing from the conventional single-relay selection where only the best relay is chosen to assist the transmission from the source to destination. For the purpose of comparison, we consider the classic direct transmission and single-relay selection as benchmark schemes. We derive closed-form expressions of the intercept probability and outage probability for the direct transmission as well as for the single-relay and multi-relay selection schemes over Rayleigh fading channels. It is demonstrated that as the outage requirement is relaxed, the intercept performance of the three schemes improves and vice versa, implying that there is a \emph{security versus reliability trade-off} (SRT). We also show that both the single-relay and multi-relay selection schemes outperform the direct transmission in terms of SRT, demonstrating the advantage of the relay selection schemes for protecting the source's transmission against the eavesdropping attacks. Finally, upon increasing the number of relays, the SRTs of both the single-relay and multi-relay selection schemes improve significantly and as expected, multi-relay selection outperforms single-relay selection.