Reproduction steps:

1. Create a new project.
2. Create an empty object, two Directional Lights and two cubes.
3. Toggle off Mesh Renderer component on one of the cubes.
4. Toggle off a Light component of one of the Directional light objects.
5. Select all the objects with click and drag multi-selection rectangle(Pictures attached).
- Both lights are selected.
- Empty object is not selected.
- Cube with Mesh Renderer toggled on is selected.
- Cube without Mesh Renderer toggled on is not selected.

Reproduced with:
5.4.3p2, 5.5.0f3, 5.6.0a5