This option is used for selecting more than one media files in a folder in other to perform specific actions on them at once.
For instance; to move multiple files from one folder to another, to delete multiple files from the media library and so on.
When files are Bulk selected, two actions come up which are; "Cancel Selection" and "Delete Selection" which lets you perform the Cancel action and Delete action respectively.
See image reference below:
A screenshot showing the Bulk Select settings
After you have used the "Bulk Select" option to perform an action, you should click on "Cancel" to avoid performing multiple actions on the same files.
An image showing how to cancel selected files after performing bulk actions