This letter investigates the sum rate maximization in amplify-and-forward (AF) MIMO two-way relay channels (TWRCs) combined with relay antenna selection (AS). We consider the circuit power consumption in this letter and hence the optimization of the number of active RF chains is necessary. In particular, a greedy relay AS algorithm is proposed to avoid the exhaustive search. The proposed algorithm relies on a derived equation for the sum rate of AF MIMO TWRCs when relay AS is adopted, which guides us to select a pair of receive and transmit antennas that brings the largest sum rate increment at each selection. Simulation results show that the greedy algorithm is capable of achieving nearly the same performance of exhaustive search but with significantly reduced computational complexity.