Do you want to create the list from a Campaign that is about to run or one that already ran. They will be different methods although I dont think you can do the latter without working directly on the MySQL database.
If your campaign is still to run, then Attilas suggestion is the way.
- Create a workflow with the 'Campaing email opened' trigger.
- I would use a Ad Tag and rather to create a dynamic list.
As the emails are opened, the workflow will tag the contact and your list will grow dynamically. Apart from that, as Attila mentioned the static list function doesn't work so using the tag method is the only way.
However, if you want to make a list of contacts that opened from a old campaign, I dont think there is any straight forward way to do this.