Finally, I was able to make this work with:
for i in range(10):
    idx = train_dataset.targets==i
    idx_np = idx.numpy()
    idx_num = idx_np * range(len(idx))
    idx_no_zeros = list(filter(lambda a: a != 0, idx_num))
    train_subsets.append(torch.utils.data.Subset(train_dataset, idx_no_zeros))
    train_loaders.append(torch.utils.data.DataLoader(train_subsets[i], batch_size=self.batch_size, shuffle=True))