As per contact form 7 setting placeholder. You can use the placeholder option for the following types of form tags: text, email, url, tel, textarea, number, range, date, and captchar.
But its little bit tricky for adding custom placeholder in dropdown. Sometimes we need match custom designed form with contact form but for adding placeholder in dropdown,enter link description hereYou need to add some extra code in your theme functions.php
Here is filter that will add custom placeholder in contact form 7 dropdown menu.
Hope this will help you to add custom placeholder, happy coding !!!