Hi @Михаил Маслов,
Apologies for the late reply!
Per my knowledge, you cannot use "Download a Copy" when multiple items are selected, please select a single document and try.
I tested in my side and here is the result:
If you want to download multiple files, then I suggest you open the files in file explorer and copy. I would like to remind you that this is not the best way to copy or download files in SharePoint online.
This is an article about how to use File Explorer and some of the drawbacks of its use: Copy or move library files by using Open with Explorer
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