Look at the options for the filter control and be sure that "Required" is not selected. I believe there will always be a value selected if this option is enabled.
Also, in general if you want to deselect something in VA, Ctrl + click the selection.
I hope that helps,
Sam
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Tips for filtering data sources in SAS Visual Analytics
See how to use one filter for multiple data sources by mapping your data from SAS’ Alexandria McCall.