I think you have to use the "Delete" instruction, I haven't found any instruction for deselect. But if you don't want to delete your line, just select another thing, something like this may help you.

Dim sp As MapPoint.Shape
Dim loc As MapPoint.Location
Set loc = MappointControl1.ActiveMap.GetLocation(80, 0) 'get a location over at the arctic ocean
Set sp = MappointControl1.ActiveMap.Shapes.AddShape GeoAutoShapeType.geoShapeRectangle, loc, 1, 1)
sp.Select
sp.Delete