Can we send our research paper to multiple journals at once? I have heard that if someone sends his paper to two different conferences and is somehow caught, then there would be severe consequences for the researcher.I did not know that before but I heard two supervisors talking about it yesterday.
So is it okay to send a research paper to different journals at once?( I am talking about sending to all,not publishing in all).
My field is computer science.
Short answer: No. Then to expand on the different aspects of your question, acceptable or not and effects:


It is generally not acceptable to send the same paper to two journals (in your question your title states "journals" but your text talks about "conferences", I will focus on journals). Typically you sign or agree to a statement that the work is not under consieration elsewhere when you submit work. If so then you are clearly violating an understanding you have agreed to. This does not prevent people from doing so. I have experienced (as editor/reviewer) a paper that was submitted to three journals at the same time.
There is no way to provide formal punishment if you break the rules but you will become "known" for this behaviour quite quickly and you do not want a bad reputation. Again, this does not prevent the problem from happening but I guess some authors think the world is too big for anyone to notice and prior to Internet and its search capabilities, this was probably at least partially true; now it is much easier to trace duplicates.


Your final commnet confuses me a bit. why would you send a paper to a journal if you do not intend to try to get it published there? If this is to get free feedback to improve the manuscript, I would strongly advice against such behaviour. 

A final comment: I deliberately did not consider the case of a conference since all conferences may not lead to a publication, but then you would submit an abstract and not a complete manuscript.