There's no out-of-the-box-feature for this - you'd have to implement this yourself. Pay attention to the downloading user's read-permissions on the documents. Also watch out if you're zipping a folder with hundreds of video files, 1GB each.

Kalai Arasan:

How to download all documents uploaded under one folder in Documents and Media in liferay 7.0?

You can use webdav to mount a network device with all folders and then copy what you want.

WebDAV help here:
https://learn.liferay.com/dxp/latest/en/content-authoring-and-management/documents-and-media/publishing-and-sharing/accessing-documents-with-webdav.html