By default, constructing interceptors is set to autocast; they can be replaced automatically. They're automatically destroyed if the parent carrier is destroyed. Unlike in StarCraft interceptors are unselectable in-game.
In Legacy of the Void, interceptors can be permanently launched from a carrier using its "release interceptors" ability. They can be launched to any location, but self-destruct after 60 seconds. Interceptors make two rapid attacks, one right after the other, each dealing 5 damage.