XD itself doesn't have a drop down menu available, but if you look at the UI Kits, you'll find all
sorts of useful UI elements. If you open the Google Material kit, the "Menu" section has something
that might suit your needs.
Adobe XD team
You might want to upvote this story as well, which should support the drop-down menu case:
I have a same problem
Link doesn't work
Thank you for reaching out. Are you unable to open the link shared by Elaine? I would also suggest checking this article: https://helpx.adobe.com/in/xd/help/add-overlays.html#samples on how to create a drop-down list using overlays.
Let us know if that helps.