Create first a file set where you want these submitted files to go to.

http://documentation.concrete5.org/editors/dashboard/files/sets...

When editing the form, go to the "Options" tab and make all these files go to that set.

Then in the file manager you can search by that set and then select all the files with the tickbox at the top of the listing and from the dropdown menu that is enabled above the listing, choose "Download". You will get a zip download of all of your files.

http://documentation.concrete5.org/editors/dashboard/files/file-man...

The unfortunate thing is that if you haven't put the old files to a set, you will need to put them manually there. If you have a very large number of files, I would suggest creating some script for that that goes through all the old form submissions and puts the submitted files to the file set.