One might find this phrase on a survey question or on a form that one might have to fill out. For example, a question that could use this phrase is the following:
___________________________________________________________________________
Which of the following countries have you been to? Select all that apply.
Greece Japan Kazakhstan Argentina Finland
Iran Belize Somalia Cuba Turkey
Slovakia Jordan Mauritania Sweden Venezuela
___________________________________________________________________________
In this question, the "select all that apply" is giving instructions to not only check one or two answer choices, but all of them that apply for the one who is being asked the question.
Does this make sense (I understand if it doesn't--I often tend to explain things in a confusing manner)?