When I select multiple objects, an active object is selected automatically which gets the modifiers changes. How can I select multiple objects to edit their modifiers all at once?
F3 for search bar -> Apply All modifiers.
If you want to make changes to modifiers that replicate to all objects you can use CTRL+L which will copy the modifiers of the active objects accross all the selected ones.
If multiple objects are already using the same modifier, you can modify a value of it, which will be propagated to all selected objects, by holding the Alt key while changing the value or by AltLMB clicking into a field and entering its value.
Modifying properties of multiple objects simultaneously with Alt is not restricted to modifiers.