I don't think this is possible by default! Sounds similar like this idea: https://forum.mendix.com/link/ideas/787
If you do want to create something like this you would have to create some custom search functionality.
Jeroen,
When I have needed to do this, I have accomplished it in this way:
This enables me to pass the entity, which has the associated objects, to my ‘mass action’ microflow.
Not ideal, but it can be effective in some circumstances.
Hope that helps,
Mike