You certainly can, the kernel interface doesn't care how big the set is, glibc makes it difficult, but it's easy enough to do it on other OSes.

The reason it's not generally done is because the select API has been effectively replaced with better things like kqueue and epoll and poll and ppoll. If you actually want to do something like select and you expect to have a lot of FDs, using something newer than select is a better choice.

Edit: the other thing is everytime you call select, you've got to pass that N-bit set value, 1024 with the normal value of FD_SETSIZE. I've run on systems with 4M fds (limit set to 8M), that's a huge value to pass and iterate through for every select.