Currently there is no way to download an entire folder, or multiple files, at once.
There are two ways to share a folder with a client - Send Link or Collaborate. If you use Send Link then from a folder the client can use the Save to Creative Cloud button on the public url to make a copy.
After that as Brucgov says file syncing will sync down the folder to the client's computer.
It's almost the end of 2020 and this is still not addressed. DropBox, Box, OneDrive, etc. offer that very basic function and Adobe is still "thinking about it"?
If you are just going to answer "yep, we don't offer that still", it'd be good to learn of the reason behind that decision... because I'm sure you have a very good reason why not to offer that, right? A. Cathalifaud