I assume you're looking at the Product Design Strategies: Modeling a Bottle Screw Cap tutorial and if so, the tutorial has a download file https://cineversity.com/tutorials/fd/15255/15256 Try it on that geometry, even though it's the finished product. I've just tested it for you and it definitely works.
It definitely works that way, but needs the geometry to be a loop. Make sure you're in Edge Mode and using the Move tool. After selecting the first edge, press and hold Ctrl(Cmd)+Shift at the same time then click on the second edge and it will select all in between.