Wordpress - How to add placeholder for contact form7 for dropdown?

Contrary to what the accepted answer suggests, it actually is possible and built into Contact Form 7. Here's the actual list of options [select] holds. Pretty much you would define the first option to be the placeholder using first_as_label:

[select* Test first_as_label "Placeholder" "Option 1" "Option 2"]

While it won't traditionally look like a placeholder, if it's required the user won't be able to select the placeholder and send the form - this forces the user to select any of the other options.