There is currently no way to download directly multiple tracks from funkwhale as a ZIP archive. However, you can use a command line tools such as cURL to easily download a list of tracks.
Simply copy paste the snippet below into a terminal to launch the download.
export PRIVATE_TOKEN="{{ $store.state.auth.token }}"
curl -G -o "{{ track.files[0].filename }}" --header "Authorization: JWT $PRIVATE_TOKEN" "{{ backend.absoluteUrl(track.files[0].path) }}"