If for some reason of artistic bent, having nothing to do with printing the image (since you have the best practice for that from Mark and Andrew) and you really, really, really do want to create a selection based on the displayed gamut warning here's an option to get at least close....
Make the image as large as possible, still fitting on the monitor. Turn on gamut warning. Do a screen grab and copy into a new image, crop to extract the image and resize to the original. Copy the image with the gamut warning back to the original image and set blending mode to difference - any pixels with no change, ie not part of the warning will be black and can be selected to create the mask. Fuss with the refine edges to deal as much as possible with the artifacts created by the extreme uprezzing, and that will get you close. Crude, but it looks like it might be a bit closer than Select Range OOG.