Select2の日本語化のCDNを読み込ませると良い。
<!doctype html>
<html lang="ja">
<head>
<!-- Select2本体 -->
<script src="https://cdnjs.cloudflare.com/ajax/libs/select2/4.0.2/js/select2.min.js"></script>
<!-- Select2日本語化 -->
<script src="https://cdnjs.cloudflare.com/ajax/libs/select2/4.0.2/js/i18n/ja.js"></script>
</head>
<body>
</body>
</html>