se non prevedi problemi di prestazioni, puoi ciclare per tutte le option e verificare se siano selected o meno
codice:
function getSelectedValues(sel){
	var selectedValues='';
	for(var i=0;i<sel.options.length;i++){
		if(sel.options[i].selected){
			selectedValues+=((selectedValues!='')?',':'')+sel.options[i].value;
		}
	}
	alert(selectedValues);
}
codice:
<form>
<select name="numbers" multiple="multiple" onchange="getSelectedValues(this)">
<option value="1">One</option>
<option value="2">Two</option>
<option value="3">Three</option>
<option value="4">Four</option>
<option value="5">Five</option>
</select>
</form>
ciao