There are a few ways that it can be done, I believe. Two fairly simple options are these:
First, if all of your objects are on a flat plane, Panda provides a method to find the intersection of a line and that plane. You can read about that here, I believe: Super-fast mouse ray collisions with ground plane
Second, and more general, you can use collision intersections to find the object being selected. The manual has a section on that here, I believe: http://www.panda3d.org/manual/?title=Clicking_on_3D_Objects