What does [](int i){return i<0;} in C++ mean?

Question

I came across a very strange syntax on this site:

// any_of example
#include <iostream>     // std::cout
#include <algorithm>    // std::any_of
#include <array>        // std::array

int main () {
  std::array<int,7> foo = {0,1,-1,3,-3,5,-5};

  if ( std::any_of(foo.begin(), foo.end(), [](int i){return i<0;}) )
    std::cout << "There are negative elements in the range.\n";

  return 0;
}

In particular, what does this mean?

[](int i){return i<0;}

Is it like some kind of new functional programming style in C++?