Define feature_names_in_. (#7526)

* Define `feature_names_in_`.
* Raise attribute error if it's not defined.

python-package/xgboost/sklearn.py

@@ -1105,6 +1105,18 @@ class XGBModel(XGBModelBase):
         booster = self.get_booster()
         return booster.num_features()
 
+    @property
+    def feature_names_in_(self) -> np.ndarray:
+        """Names of features seen during :py:meth:`fit`.  Defined only when `X` has feature
+        names that are all strings."""
+        feature_names = self.get_booster().feature_names
+        if feature_names is None:
+            raise AttributeError(
+                "`feature_names_in_` is defined only when `X` has feature names that "
+                "are all strings."
+            )
+        return np.array(feature_names)
+
     def _early_stopping_attr(self, attr: str) -> Union[float, int]:
         booster = self.get_booster()
         try: