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:
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.