Polycrystalline samples of the Fe2CrSe4 compound have been synthesized and studied by means of x-ray diffraction and magnetization measurements. The as-synthesized Fe2CrSe4 sample shows ferrimagnetic ordering below TN ∼ 300 K with a compensation point Tcomp ∼ 140 K. This compound is found to exhibit a large coercive field (half-width of the hysteresis loop reaches 15 kOe at 2 K) and a significant exchange bias (EB) effect below 50 K (HEB up to 6.6 kOe) after cooling in an applied field and after zero-field cooling. The exchange bias in Fe2CrSe4 is suggested to result from the presence of regions (clusters) with short-range correlations in the ferrimagnetic matrix due to the inhomogeneous distribution of iron and chromium atoms over the lattice. Additional heat treatment and subsequent rapid cooling lead to an increase in magnetic ordering temperature, the disappearance of compensation for sublattice magnetizations and a decrease in the exchange bias, thus showing the possibility of controlling the exchange bias and magnetic characteristics in the system.