It's not a function normally available - you can download all the attachments from one issue at the same time, but not all attachments from multiple issues.
You might need to consider writing a script using the REST API to hit all these issues and pull the attachments out that way.
Or an add-on is your next best option - something like Download Attachments should work for your use-case.
Introducing Jira Cloud for Excel Here at the product integrations team at Atlassian, we are thrilled to announce the new Jira Cloud for Excel add-in! This add-in lets you export Jira data directly ...
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