Convexity is one of the most important geometric properties of sets and a useful concept in many fields of mathematics, like optimization. As there are also important applications making use of fuzzy optimization, it is obvious that the studies of convexity are also frequent. In this paper we have extended the notion of convexity for hesitant fuzzy sets in order to fulfill some necessary properties. Namely, we have found an appropriate definition of convexity for hesitant fuzzy sets on any ordered universe based on aggregation functions such that it is compatible with the intersection, that is, the intersection of two convex hesitant fuzzy sets is a convex hesitant fuzzy set and it fulfills the cutworthy property.