I tested the basic example on the examples page with JAWS 16 and NVDA 2015.2 screen readers, and in both cases, the options are not read when expanded and navigating through the options with the up and down arrow keys. JAWS is silent when changing options, and NVDA reads "blank".

Since we already use select2 in production and need to make this accessible, I'd be willing to help test ARIA related modifications.