We are motivated by the issue of classifying diseases of chronically ill patients to assist physicians in their everyday work. Our goal is to provide a performance comparison of state-of-the-art multi-label learning algorithms for the analysis of multivariate sequential clinical data from medical records of patients affected by chronic diseases. As a matter of fact, the multi-label learning approach appears to be a good candidate for modeling overlapped medical conditions, specific to chronically ill patients. With the availability of such comparison study, the evaluation of new algorithms should be enhanced. According to the method, we choose a summary statistics approach for the processing of the sequential clinical data, so that the extracted features maintain an interpretable link to their corresponding medical records. The publicly available MIMIC-II dataset, which contains more than 19,000 patients with chronic diseases, is used in this study. For the comparison we selected the following multi-label algorithms: ML-kNN, AdaBoostMH, binary relevance, classifier chains, HOMER and RAkEL. Regarding the results, binary relevance approaches, despite their elementary design and their independence assumption concerning the chronic illnesses, perform optimally in most scenarios, in particular for the detection of relevant diseases. In addition, binary relevance approaches scale up to large dataset and are easy to learn. However, the RAkEL algorithm, despite its scalability problems when it is confronted to large dataset, performs well in the scenario which consists of the ranking of the labels according to the dominant disease of the patient.