Diabetes, a disorder in the control of blood-glucose levels, is one of the most serious metabolic diseases worldwide. Among the investigated technologies for continuous glucose monitoring (CGM), near-infrared spectroscopy (NIR) has received the most attention. There have been many attempts to develop NIR-based CGM systems with promising in-vitro results, but they lacked robustness for in-vivo use. We critically review the application of chemometrics for CGM and the research needed. Pre-processing and multivariate-calibration techniques, which allow exploiting expert knowledge on the potential interferences, are possible solutions. The combination and first overtone bands in the ranges 2050–2300 nm and 1500–1800 nm, respectively, are the most informative regions. We therefore recommended selecting the most informative variables and exploiting the available expert knowledge on known interferences in pre-processing or multivariate calibration to develop an NIR-based CGM sensor for in-vivo use.