It's in right-clic, object properties.
Here is an usage :
imagine I have a scene with a volume fog applied to a big box surrounding the scene.
It's not a global volume cause I have to exclude some lights that I want to not generate volumetrics.
I have to render foreground objects separetly for compositings reasons.
So, I render everything but fg objects as matte, and I use selective render to render only fg objects.
BUT, I have to include the fog box in render in order to see volumetrics.
The problem is that fog will be computed over every objects of the scene, even those excluded by the selective rendering, resulting in unnecessary long render time.
Except if I could exclude objects from receiving volumetrics...
