You can able to create multi select picklist, just go to setup then search for Picklist value set. And create a new picklist value.
Also, if you are using Salesforce Classic, then you can create multi-select picklist like a field.
I hope this will help.
Want to know more about Salesforce? Prefer this tutorial on Salesforce Developer.
Want to become a Salesforce expert? join Salesforce Developer Certification now!!