1

Set up: 
   - Activate Developer Mode, go to Settings/ Technical/ Actions/ Export Actions

- Create a new Export Action

- Specify Name, Model and Server Action to be executed when exporting on the Model.

 
Ex: Create activity for user exporting data on Sales Order

2

Action: Select records and export on Sales Order's list view

3

Result: Activity is created for user that executed exporting on the selected records