Reviving this thread as there is finally a good solution to this problem. With the new Modern components, the Combo Box allows for multiple selections, and you can disable the Search feature.
First, add a Combo Box to your canvas:

Set your Data Source, and the behavior Allow multiple selections to On, and Allow searching to Off. This turns the combo box into a basic multi-select dropdown!

To, let's say, filter a collection from the selected items form the Combo Box, you would incorporate an in filter:
Filter(
Collection,
ColumnToFilter in Combobox.SelectedItems
);
Hope this helps!