None of the dropdowns available to be inserted directly within a document (the legacy dropdown form field, the ActiveX combo box, and the content control dropdown list box) support multiple selection.
To get that functionality, you must create a
userform on which you insert a list box control, and set that control's MultiSelect property to the value
fmMultiSelectMulti ("Pressing the SPACEBAR or clicking selects or deselects an item in the list") or
fmMultiSelectExtended ("Pressing SHIFT and clicking the mouse, or pressing SHIFT and one of the arrow keys, extends the selection from the previously selected item to the current item. Pressing CTRL and clicking the mouse selects or deselects an item").
Then insert a MacroButton field in the document to run a macro that displays the userform and places the results in the correct place in the document.