The concept of diversity is widely used in various applications: from image or molecule generation to recommender systems. Thus, being able to properly measure diversity is important. This paper addresses the problem of quantifying diversity for a set of objects. First, we make a systematic review of existing diversity measures and explore their undesirable behavior in some cases. Based on this review, we formulate three desirable properties (axioms) of a reliable diversity measure: monotonicity, uniqueness, and continuity. We show that none of the existing measures has all three properties and thus these measures are not suitable for quantifying diversity. Then, we construct two examples of measures that have all the desirable properties, thus proving that the list of axioms is not self-contradicting. Unfortunately, the constructed examples are too computationally complex for practical use, thus we pose an open problem of constructing a diversity measure that has all the listed properties and can be computed in practice.