In blender **4.1,** this can be done through the following steps:

1. Select your Objects
2. Go to File > Export > Click your Export Option
3. As seen in the image below, check "Selection Only" under "Include" in the right panel.
[![image of blender's file export][1]][1]

Hope this helps!

  [1]: https://i.sstatic.net/TMRKkdSJ.png