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Context. The bi-modality in the distribution of galaxies usually obtained from colour-colour or colour-stellar mass (absolute magnitude) diagrams has been studied to determine the difference between galaxies in the blue cloud and in the red sequence, as well as to define the green valley region. As a transition region, green valley galaxies can offer clues about the morphological transformation of galaxies from late-type to early-type. Therefore, the selection of green valley samples is of fundamental importance. Aims. In this work, for the first time, we evaluate the selection effects of the most frequently applied green valley selection criteria. The aim is to understand how these criteria affect the identification of green valley galaxies, their properties, and their impact on galaxy evolution studies. Methods. Using the SDSS optical and GALEX ultraviolet data at redshift z < 0.1, we selected the eight most commonly used criteria based on colours (without and with Gaussian fittings), specific star formation rate, and star formation rate versus stellar mass. We then studied the properties of the green valley galaxies (e.g. their stellar mass, star formation rate, specific star formation rate, intrinsic brightness, and morphological and spectroscopic types) for each selection criterion. Results. We found that when using different criteria, we selected different types of galaxies. UV-optical colour-based criteria tend to select more massive galaxies, with lower star formation rates and a higher fractions of composite and elliptical galaxies than when using pure optical colours. Our results also show that the colour-based criteria are the most sensitive to galaxy properties, rapidly changing the selection of green valley galaxies. Conclusions. Whenever possible, we suggest avoiding the green valley colour-based selection and using other methods or a combination of several, such as the star formation rate versus stellar mass or specific star formation rate.