Interesting! I was not aware of this - but I found that this behaved differently in my bash (4.3.42(4)-release): First, I verified that a SIGWINCH indeed sets COLUMNS correctly (in my case to 92, which corresponds to the width of my mintty terminal). Then I entered the command exactly like the OP provided - but the menu still occurs for me in a single column.
I wonder whether some other setting also affects this behaviour. select also uses the LINES variable, but even with setting LINES to a ridiculously low value (2), I could not get a multi-column display.
After changing my environment with export COLUMNS=50 the menu was displayed in 2 columns.
@mohtashims -- omitting details of your environment means that we often may need to guess at answers. I think that with more than 500 posts that would become almost automatic for you.