Thanks @mateusz and @Bryan for your answers! Your link SelectionGeometry example looks like a good solution for now! Would you know how to allow only one selection rectangle?
i.e. when the user does a second selection rectangle, it replaces the previous one.
This would be perfect 
(PS: would you have an idea for Bokeh: how to update/redraw the plot data after slider.on_change (with AJAX)?? TL;DR I already have a Flask server for the rest of the application and I would like to keep this server and use AJAX to refresh/update the plots.)