In co-expression analyses of gene expression data, it is often of interest to interpret clusters of co-expressed genes with respect to a set of external information, such as a potentially incomplete list of functional properties for which a subset of genes may be annotated. Based on the framework of finite mixture models, we propose a model selection criterion that takes into account such external gene annotations, providing an efficient tool for selecting a relevant number of clusters and clustering model. This criterion, called the integrated completed annotated likelihood (ICAL), is defined by adding an entropy term to a penalized likelihood to measure the concordance between a clustering partition and the external annotation information. The ICAL leads to the choice of a model that is more easily interpretable with respect to the known functional gene annotations. We illustrate the interest of this model selection criterion in conjunction with Gaussian mixture models on simulated gene expression data and on real RNA-seq data.