Dear Jerome Perumal,
Welcome to Microsoft Q&A.
Thank you for your question and for sharing your requirement. Based on my understanding, at this time Excel Online does not support creating a multi-select drop-down list natively. This is because the Data Validation feature in Excel only allows single selections per cell, and multi-select functionality is not built into the web version.
However, if you have access to Excel Desktop, you can achieve this using VBA (Visual Basic for Applications). VBA allows you to customize the behavior of drop-down lists so that users can select multiple items in the same cell.
Here are some detailed guides you can refer to for Excel Desktop:
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Multi-select dropdowns are a highly requested feature for Excel Online, but as of now, it’s not available natively. If this feature is critical for your workflow, I recommend submitting feedback via the Microsoft Feedback Portal or using the Help > Feedback option in Excel Online.

I hope this information helps point you in the right direction. If you run into any issues while trying the steps, or if something still doesn’t feel quite right, please don’t hesitate to reach out again. I’ll do my best to support you however I can.
Looking forward to hearing back from you with any updates or additional details.
Warm regards,
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