Checking in Github and Stackoverflow, I found this way:
wp.data.select( 'core' ).getEntityRecords( 'taxonomy', '<taxonomy_slug>', { per_page: -1, page: 1 } )
In my case the taxonomy slug is post_tag
. So I was able to retrieve all the tags from my website using:
select( 'core' ).getEntityRecords( 'taxonomy', 'post_tag', { per_page: -1, page: 1 } )