Ok, I managed to do it with get_the_taxonomies()
Codex
and unset()
PHP Manual
So, here is how the final code looks like:
//define the arguments so the output will have the format I want
$args = array(
'template' => __( '%s: %l.' ),
'term_template' => '<a href="https://wordpress.stackexchange.com/questions/284512/%1$s">%2$s</a>',
);
//get the array and store it
$taxList = get_the_taxonomies( $post->ID, $args );
//remove the categories I don't want based on their slug
unset($taxList['categorias']);
//Show the list without the ones specified above
print_r($taxList);