The big problem with asking someone this, is a list of industries is either short and vague or long and precise.
Shorter and vague lists tend to have very broad industries like "Education" or "Information Technology". Users then have to try and work out which industry most suits them - which very often is challenging. For example, I work on educational apps. Is that the 'education' or 'information technology' industry? I have to take time to think about it, and as there is no clear answer, it's frustrating. So a poor UX.
Long and more precise lists take a long time to read, and even then, it's often not clear which industry a person falls into. Take a look at one of the better lists of industries from the Bureau of Labor Statistics. See how long it takes you to read it all and work out which industry you are in. This represents wasted time and frustration. Once again, poor UX.
The only time where I believe requiring an industry is justified is when it is critical that the selection is objective. Situations like applying for a Trademark, or registering a company.
My preferred solution is to simply not ask for it, as the information is rarely necessary, but a good UX is always important.
If however, you have no choice in the matter, I would suggest a simple text field where a user can enter whatever they think their industry is, rather than have to choose from a list. This is much better UX, but it won't give you an objective list where you can say "12.4% of our users are from X industry", without a lot of work. For most marketing situations though, it is probably sufficient.