I've just tried Shift-Click, Alt-click and Cmd+Click and none allow selection across layers on OSX. Maybe it's different on other OSes but I don't think it is. (I'd be very happy to be proved wrong as being able to do this would be very useful.)
If - as I think - it's not possible, it would be nice to have an option to allow it somehow. Maybe Shift-Alt-Click - or whatever - could bring up a little selection "menu" showing a list of all of the objects under the pointer, no matter which layer, and you could select which one you want. (Or maybe there's a much better idea; that was just off the top of my head.)
P.S. I can't remember how AutoCAD worked when I first started with it but I'm sure it had layers. I also moved to CAD from using that "plastic paper" (which I can never remember the proper name of) and pens on a lovely big board that tilted just nicely enough at lunchtimes to play "PONG" on it with a heavy rubber ball using two coasters at the bottom for paddles! Oh happy, far more simple, days…