In this paper, we propose three relay selection schemes for full-duplex heterogeneous networks in the presence of multiple cognitive radio eavesdroppers. In this setup, the cognitive small-cell nodes (secondary network) can share the spectrum licensed to the macro-cell system (primary network) on the condition that the quality-of-service of the primary network is always satisfied subjected to its outage probability constraint. The messages are delivered from one small-cell base station to the destination with the help of full-duplex small-cell base stations, which act as relay nodes. Based on the availability of the network's channel state information at the secondary information source, three different selection criteria for full-duplex relays, namely: 1) partial relay selection; 2) optimal relay selection; and 3) minimal self-interference relay selection, are proposed. We derive the exact closed-form and asymptotic expressions of the secrecy outage probability for the three criteria under the attack of non-colluding/colluding eavesdroppers. We demonstrate that the optimal relay selection scheme outperforms the partial relay selection and minimal self-interference relay selection schemes at the expense of acquiring full channel state information knowledge. In addition, increasing the number of the full-duplex small-cell base stations can improve the security performance. At the illegitimate side, deploying colluding eavesdroppers and increasing the number of eavesdroppers put the confidential information at a greater risk. Besides, the transmit power and the desire outage probability of the primary network have great influences on the secrecy outage probability of the secondary network.