We introduce the notion of -stability for torsion-free Higgs sheaves as a natural generalization of the notion of -stability for torsion-free coherent sheaves over compact complex manifolds. We prove similar properties to the classical ones for Higgs sheaves. In particular, we show that only saturated flags of torsion-free Higgs sheaves are important in the definition of -stability. Using this, we show that this notion is preserved under dualization and tensor product with an arbitrary Higgs line bundle. Then, we prove that for a torsion-free Higgs sheaf over a compact K"ahler manifold, -stability implies -stabilty. As a consequence of this we obtain the -semistability of any reflexive Higgs sheaf with an admissible Hermitian-Yang-Mills metric. Finally, we prove that -stability implies -stability if, as in the classical case, some additional requirements on the base manifold are assumed. In that case, we obtain the existence of admissible Hermitian-Yang-Mills metrics on any -stable reflexive sheaf.

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