Hello Hothorasman,
When you mention the Select2 plugin, do you mean the WebPatterns Select2, or a specific Forge component?

From what I understand, the WebPatterns Select2 component is a clientside dropdown search, but the full list of dropdown elements is sent to the client, so if you're working with thousands of records, all of that data still needs to be sent.
The AutoComplete from RichWidgets allows you to search a list of elements as well, but you can customize the list of data that is sent - initially, no elements are sent to the client, and as the user starts typing, a callback Action in your screen is invoked, and your logic will be executed in order to determine results. This means you only send elements your user is "about to" select, and not the full list.
Select2 is good for small-medium sized lists of dropdown elements. If you have to deal with thousands of records, the AutoComplete will be more performant.