Using wp_list_categories like the the_category (showing just current categories of a post)

Have you tried 'current_category' => 1, ?

e.g.:

$args = array (
    'title_li' => 0,
    'current_category' => 1
);
wp_list_categories($args);

There’s a chance it will still output all of them, but with a CSS class on the current categories, at which point you hide them all with CSS and unhide the ones with that class.

Always refer to the codex entry:

http://codex.wordpress.org/Template_Tags/wp_list_categories