Deep learning is gaining more and more lots of attractions and better performance in implementing the Intrusion Detection System (IDS), especially for feature learning. This paper presents the state-of-the-art advances and challenges in IDS using deep learning models, which have been achieved the big performance enhancements in the field of computer vision, natural language processing, and image/audio processing than the traditional methods. After providing a systematic and methodical description of the latest developments in deep learning from the points of the deployed architectures and techniques, we suggest the pros-and-cons of all the deep learning-based IDS, and discuss the importance of deep learning models as feature learning approach. For this, the author has suggested the concept of the Deep-Feature Extraction and Selection (D-FES). By combining the stacked feature extraction and the weighted feature selection for D-FES, our experiment was verified to get the best performance of detection rate, 99.918% and false alarm rate, 0.012% to detect the impersonation attacks in Wi-Fi network which can be achieved better than the previous publications. Summary and further challenges are suggested as a concluding remark.