Currently, attachments can't be exported. However, we have a feature request in the backlog to allow export data including attachments. I've linked your request to this task and increased the task's rating.
This task id is QAC-1444. It is a quite complex task and implementing it requires involving significant resources. At this moment, our PO cannot dedicate resources to implement this feature in the next product update. Currently, this task is still in the backlog. But it's rating is pretty high (17).