Explicit Deselect in Sublime Text 2's Multiselect
To deselect the last occurrence selected with ⌘ + D try using:
On Mac: ⌘ + U
On Windows: Control + U
Update: Confirmed this works on Sublime v3+
Try the following keyboard shortcut:
Ctrl+u
...or you can go the Edit -> Undo Selection -> Soft Undo
On Mac you can deselect any occurrence by using cmd+alt+shift+left mouse button
I have not found the similar shortcut for Windows yet.