Exporting multiple bands of .dim image file to .hdr

I want to export multiple bands of my sentinel 2 image in ‘beam dimap’ format to one ‘.hdr’ file, but can’t. As I export ‘.dim’ file into ‘.hdr’ then all the bands become one single .hdr file like Band3. hdr, Band4.hdr. I would like to ask if there is a way to export all of them as single .hdr file.

.hdr can mean ENVI HDR, ESRI HDR, or “High Dynamic Range”. SNAP can export to multi-band NetCDF4-CF files that work with many current GIS packages, Matlab, R, Python, etc.

If you are using ENVI HDR and have a recent GDAL with Python enabled, you could try gdal_merge.py -separate ...:

Usage: gdal_merge.py [-o out_filename] [-of out_format] [-co NAME=VALUE]*
                     [-ps pixelsize_x pixelsize_y] [-tap] [-separate] [-q] [-v] [-pct]
                     [-ul_lr ulx uly lrx lry] [-init "value [value...]"]
                     [-n nodata_value] [-a_nodata output_nodata_value]
                     [-ot datatype] [-createonly] input_files

Yes, you can use gdal as @gnwiii suggested.
But you can create ENVI hdr/img couples also with SNAP.
The bands just need to be resampled to a common resolution beforehand.