It is urgent to diagnose colorectal cancer in the early stage. Some feature genes which are important to colorectal cancer development have been identified. However, for the early stage of colorectal cancer, less is known about the identity of specific cancer genes that are associated with advanced clinical stage. In this paper, we conducted a feature extraction method named Optimal Mean based Block Robust Feature Extraction method (OMBRFE) to identify feature genes associated with advanced colorectal cancer in clinical stage by using the integrated colorectal cancer data. Firstly, based on the optimal mean and L 2,1-norm, a novel feature extraction method called Optimal Mean based Robust Feature Extraction method (OMRFE) is proposed to identify feature genes. Then the OMBRFE method which introduces the block ideology into OMRFE method is put forward to process the colorectal cancer integrated data which includes multiple genomic data: copy number alterations, somatic mutations, methylation expression alteration, as well as gene expression changes. Experimental results demonstrate that the OMBRFE is more effective than previous methods in identifying the feature genes. Moreover, genes identified by OMBRFE are verified to be closely associated with advanced colorectal cancer in clinical stage.