Firstly, 'huge data' to database people is [at least] gigabytes, in which case I suspect your problems are going to be reading those sort of volumes into your processes memory and aggregating them there. Why do you think a single-threaded select will be the bottleneck ?
If the bottleneck were getting the data from disk, then having multiple threads pulling data from the same disk wouldn't necessarily be faster and may even be slower. But if you could spread the data over separate disks, separate threads would be faster. If, using SSD, you don't think disks will be a contention point,we can look elsewhere.
If the bottleneck was network bandwidth, again multiple threads wouldn't fit any more data through the pipe any faster. You may even benefit from unloading the data to a flat file, compressing it and transferring that.
If the select is being sorted or comes from a hash-join, you may use memory more efficiently with a single thread. Multiple sessions would have to share the machine's memory.
If there is a CPU intensive processing then multiple threads may help. That could be as simple as having multiple connections from java, each getting a different slice of data (eg A-K and L-Z), but it would very much depend on the SELECT.
I agree with dpbradley that you should determine the bottleneck first. If you have the data and select, it should be simple enough to determine how long it takes (both on the local machine and through the network), and a trace would be a necessary starting point to really go into how it could be speeded up.