We analyze a model of broad area vertical-cavity surface-emitting lasers subjected to frequency-selective optical feedback. In particular we analyze the spatio-temporal regimes arising above threshold and the existence and dynamical properties of cavity solitons. We build the bifurcation diagram of stationary self-localized states, finding that branches of cavity solitons emerge from the degenerate Hopf bifurcations marking the homogeneous solutions with maximal and minimal gain. These branches collide in a saddle-node bifurcation, defining a maximum pump current for soliton existence which lies below the threshold of the laser without feedback. The properties of these cavity solitons are in good agreement with those observed in recent experiments.