I think you’re looking for:
const featuredImageId = wp.data.select( 'core/editor' )
.getEditedPostAttribute( 'featured_media' );
to get the ID of the featured image and then for the corresponding media object:
const media = featuredImageId
? wp.data.select( 'core').getMedia( featuredImageId )
: null;
See e.g. here in the post featured image component: