I am importing dxf file into QGIS. The file contains polygons. For some reason, when I select them only some of them are selected. Why can't I select all off them.
Most likely these polygons are corrupted. That happens often with CAD imports when CAD workers aren't meticulously drawing their closed polylines (which then are converted to polygons).
Use the Vector -> Geometry Tools -> Check Validity tool or select the polygon using the node editor and let it validate the polygon to see what issues exist, then fix it manually. If you have many such issues, look into mass-fixing methods such as v.clean offered by the GRASS toolkit (cleaning tool bpol seems to work fairly well).
May be file is corrupted or not. Some times its happens due to overlapping If Polygons are overlapped. Open Attribute Table and Select the polygon you wanted. Sometimes its happens due to multiple shape files.