Hello Udit Chaturvedi,
Currently no such feature is available which will allow you to download multiple files with just one click.
However; you have below alternative options to go for.
Add this in https://experience.dynamics.com/ideas/ so that MS can review this requirement to take a decision in upcoming releases.
Else; if your main purpose is to download multiple attached files at once; then you can simply upload it first using a Zip or compressed file. Later; you can go to the same document and download the Zip file from D365. Steps are below.
--- First; go to Organization administration > Document management > Document management parameters > File type.
--- Set the Natively Web Renderable as Yes for the file type "Zip". By default, it will be set as "No". Setting this to "Yes" will allow you to upload the Zip file.

--- Next; assemble all files and compressed to Zip file.
--- Then go to the document where you want to upload it. For example; I have uploaded a Zip file in General journals form which contain some 5-6 files.

Doing this; later you can easily download this Zip file with just a click on "Open".

--- The last resort is to go for a customization. Check with a developer if modifying the standard code can help you achieve what you are expecting.
Kindly check this and provide your feedback.
Best regards,
Sourav Dam
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