You don't. Components are labels/field-values you put on an issue, not things you move issues between.
M.A. has written up how you change components for multiple issues. The one thing you need to be careful of though - if you have issues with different components on them, then you're going to lose them.
Say you've got three issues 1, 2 and 3, and three components (cat, dog, parrot). Issue-1 has cat and dog, issue-2 has cat, and issue-3 has cat, dog and parrot. If you bulk-edit all the issues that have "cat" on them, and set the value to "cat" and "dog", you will LOSE "parrot" from issue-3, as you're overwriting the whole field.
From a list of issues, you have a Tools button on right-top corner of the list, and you can select a Bulk change for example and affect multiple issues at a time (or just one). The options include to change the type of the issue, the component, change comment, change custom fields, etc. You can change the status as well for example close all tickets at the end of a release. For tickets that are already closed some options are not available, you may need to re-open them, transition then close again.
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