HI intensity mapping is a new observational technique to map fluctuations in the large-scale structure of matter. Sensitive radio surveys have the potential to detect Baryon Acoustic Oscillations (BAO) at low redshifts (zn, which is at least four orders of magnitude brighter than the HI signal. Foreground cleaning is recognised as one of the key challenges for future radio astronomy surveys. The Generalized Needlet Internal Linear Combination (GNILC) method has proven efficient in Planck CMB observations to separate the Galactic thermal dust emission and the cosmic infrared background fluctuations. We study the ability of the GNILC method to subtract radio foregrounds and to recover the cosmological HI signal for a general HI intensity mapping experiment. Our results show that the method is robust to the complexity of the foregrounds and to instrumental uncertainties.