There are 2 ways to get it done:

1. Create a List Button and have a java script executed for the same using the syntax {!GETRECORDIDS($ObjectType.Lead)}; but this is restricted to the Classic mode of Salesforce as Java script buttons do not go well with the lightning mode of salesforce.
2. For Lightning Create a List Button->Select the Check Box to Allow Multiple Values->Create a VF page and align it with the button->Include a lightning component within the vf page and pass the values from the Vf Page to the Lightning Component attributes.


VF PAGE :

<apex:page standardController="Account" recordSetVar="accs" extensions="VFC_ProcessAccRecords">
<apex:includeLightning />
   
    <div id="LcDisplayId"></div> 
    
 <script>
      // Here 'VfApp' Is Lightning Application Name
    $Lightning.use("c:VfApp", function() {
      /* 'LcForVf' is Lightning Component Name which we are Displaying In Vf Page 
       * syntax for create lightning component dynamically :
       * $Lightning.createComponent(String type, Object attributes, String locator, function callback) */
    $Lightning.createComponent("c:LcForVf",
    { 
      // Set Lightning Component Attributes Property before creating Lightning Component In Visualforce page 
        textColor : "Red",
        currentUserName : '{!$User.FirstName} {!$User.LastName}' 
     },
   "LcDisplayId",
    function(component) {
        // create component Callback, Lightning Component has been Created,
        // Now you can set more lightning Component attributes here,
        // and do more cool stuff here
        component.set("v.accId" , '{!accs}');// the attribute to pass all the selected record ids 
    });
 });
 </script>
</apex:page>


////////////////////////

LC:

<aura:component >
  <!--declare aura attributes-->    
    <aura:attribute name="accId" type="string"/>
    <aura:attribute name="textColor" type="string" default="black"/>
    <aura:attribute name="currentUserName" type="string"/>
    
    <h2 style="{!'color:' + v.textColor}"> RecordId Pass With Vf Page URL Parameter : <b>{!v.accId}</b></h2>
     
    <br/>
    
    <p><span class="slds-badge">LogIn User :<b>{!v.currentUserName}</b></span></p>
   
    <br/>
    
    <button class="slds-button slds-button_brand" onclick="{!c.showAlert}">Show Alert</button>
</aura:component>

CONTROLLER
({
   showAlert : function(component, event, helper) {
     alert('Test Alert'+component.get('v.accId'));
       
    }
})


//////////////

APEX CLASS TO SET THE VALUES ON THE VF PAGE 

public class VFC_ProcessAccRecords {
    public List<Account> selAccLst;
    public String accIds{get;set;}
    public string msg{get;set;}
    
    // Constructor
    public VFC_ProcessAccRecords(ApexPages.StandardSetController cntlr){
        selAccLst = cntlr.getSelected(); //get selected records from account list view
        accIds = '';  
        for(Account acc : selAccLst){
            accIds += acc.Id + ','; //build list of ids string concatenated with comma                         
        }
        accIds = accIds.removeEnd(','); 
        system.debug('test '+accIds);
   } 
    
  
}