DOC: Add entry in whatsnew for bug

Author: CianciuStyles

doc/source/whatsnew/v0.23.0.txt

@@ -1111,6 +1111,7 @@ I/O
 - Bug in :meth:`pandas.io.json.json_normalize` where subrecords are not properly normalized if any subrecords values are NoneType (:issue:`20030`)
 - Bug in ``usecols`` parameter in :func:`pandas.io.read_csv` and :func:`pandas.io.read_table` where error is not raised correctly when passing a string. (:issue:`20529`)
 - Bug in :func:`HDFStore.keys` when reading a file with a softlink causes exception (:issue:`20523`)
+- Bug in :func:`HDFStore.select_column` where a key which is not a valid store raised an ``AttributeError`` instead of a ``KeyError`` (:issue:`17912`)
 
 Plotting
 ^^^^^^^^